Portfolio Management Reading 39: Portfolio Risk & return Part 1

[archived_user]

EOC Question 9
Could someone tell me how to solve this in a simpler manner if possible, would greatly appreciate it.
Thanks

 

[archived_user]

Their answer is as simple as possible. Anything else is more complicated.
Here’s the algebra:
σ2port = w12σ12 + w22σ22 + 2w1w2σ1σ2ρ
σ2port − w12σ12 − w22σ22 = 2w1w2σ1σ2ρ
ρ = (σ2port − w12σ12 − w22σ22) / (2w1w2σ1σ2)

 

[archived_user]

Thank you, appreciate it. I was able to solve it dong the algebra.

 

[archived_user]

So was I.