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Weighting an average to minimize variance
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Weighting an average to minimize variance
Suppose you have $100 to invest in two independent assets, A and B, and you want to minimize volatility. Suppose A is more volatile than B. Then putting all your money on A would be the worst thing to do, but putting all your money on B would not be the best thing to do. The optimal allocation would be some mix of A and B, with more (but not all) going to B. We will formalize this problem and determine the optimal allocation, then generalize the…
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