Chartered Financial Analyst Level 2
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For Asset 1 and Asset 2, and 15% for Asset 3. The manager compiles the following correlation matrix for the assets' returns:
| Asset 1 | Asset 2 | Asset 3 | |
|---|---|---|---|
| Asset 1 | 1.0 | -0.1 | -0.2 |
| Asset 2 | -0.1 | 1.0 | 0.3 |
| Asset 3 | -0.2 | 0.3 | 1.0 |
If the manager wishes to maximize risk-adjusted returns, the largest portfolio position is most likely to be in: