MediumPortfolio & RiskAcceptance 52%
Minimum-Variance Weight
AQR CapitalBlackRock
Two uncorrelated assets have volatilities 10% and 20%. In the minimum-variance portfolio, what weight goes to the 10% (lower-vol) asset?
Approach
Weight ∝ 1/variance when uncorrelated.
Answer
Show the final answer
The answer is 0.8. Sign in free for the full worked solution and to check your own answer.
Related problems
Sharpe RatioEasyTwo-Asset Portfolio VolatilityMediumCVaR / Expected ShortfallMediumDiversification & SharpeMediumPortfolio BetaEasyAnnualizing SharpeMedium
More in Portfolio & Risk.