... to maxxAxA(µA− rf)+(1− xA)(µB− rf)(x2Aσ2A+(1− xA)2σ2B+2xA(1 − xA)σAB)1/2.9 -2 -1 .75 -1 .5 -1 .25 -1 -0 .75 -0 .5 -0 .2500.250.50.7511.251.51.752 -2 -1 .25 -0 .50.2511.750123 4 5678yxzy ... xA,isvariedfrom -0 .4 to 1 .4 in increments of 0.1 and, since xB=1− xA, the weight on asset isthen varies from 1 .4 to -0 .4. This gives us 18 portfolios with weights (xA,xB)=(−0 .4, 1 .4) , (−0.3, ... return.11 Introduction to Financial Econometrics Chapter 4 Introduction to Portfolio TheoryEric ZivotDepartment of EconomicsUniversity of WashingtonJanuary 26, 2000This version: February 20, 20011 Introduction...