A client asks you to create a minimum variance portfolio from two funds, A and...
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A client asks you to create a minimum variance portfolio from two funds, A and B. Fund A has an expected return of 4% and a standard deviation of 13%. Fund B has an expected return of 3% and a standard deviation of 18%. The correlation between the returns of funds A and B is 0.23. What is the percentage of the total portfolio you should recommend to invest in fund A to obtain the minimum variance portfolio? Please enter your answer in percent rounded to the nearest basis point.
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