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Consider a portfolio which consists of two RISKY assets (no risk-free assets), which of the following is TRUE?

Assuming the weights for the assets are 150% and -50%, then the performance of the portfolio (in terms of the trade-off between return mean and volatility) when the assets' correlation is 1 is better than (and not equal to) when the correlation is 0.

Assuming the weights for the assets are 0% and 100%, then the performance of the portfolio (in terms of the trade-off between return mean and volatility) when the assets' correlation is -1 is better than (and not equal to) when the correlation is 0.

Assuming the weights for the assets are -150% and 250%, then the performance of the portfolio (in terms of the trade-off between return mean and volatility) when the assets' correlation is -1 is better than (and not equal to) when the correlation is 0.

Assuming the weights for the assets are 50% and 50%, then the performance of the portfolio (in terms of the trade-off between return mean and volatility) when the assets' correlation is 1 is better than (and not equal to) when the correlation is 0.

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Financial Management, Finance

Category:- Financial Management
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