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If the minimum-variance two-asset portfolio weight in asset A equals (σ_B² − ρ σ_A σ_B)/(σ_A² + σ_B² − 2 ρ σ_A σ_B), for σ_A=20%, σ_B=30%, ρ=0, the optimal w_A is:
A0.69
B0.50
C0.31
D0.40
Answer & Solution
Correct answer: A. 0.69
1. Identify what the question asks: this concept maps to minvarianceweight (§5.2).
2. Apply the framework or formula relevant to the topic.
3. Eliminate distractors and arrive at the correct option (A).
_Source: ICAI BoS CA Final Paper 2, Ch 6 "Portfolio Management"_
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