Question

Consider two perfectly negatively correlated risky securities A and B. A has an expected rate of return of 10%

and a standard deviation of 16%. B has an expected rate of return of 8% and a standard deviation of 12%.

The weights of A and B in the global minimum variance portfolio are _____ and _____, respectively.

A. 0.24; 0.76

B. 0.50; 0.50

C. 0.57; 0.43

D. 0.43; 0.57

E. 0.76; 0.24

Answer

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