Consider Two Perfectly Negatively Correlated Risky Securities a and B

question 56

Multiple Choice

Consider two perfectly negatively correlated risky securities A and B. A has an expected rate of return of 12% and a standard deviation of 17%. B has an expected rate of return of 9% and a standard deviation of 14%. 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) 0.45; 0.55
• E) 0.76; 0.24

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Definitions:

Pillow Basalt

A volcanic rock formation characterized by rounded, pillow-shaped masses, formed when lava extrudes underwater and cools rapidly.

Fissure Eruption

A volcanic eruption through a crack or fissure in the earth's surface, often producing long linear volcanoes.

Valles Caldera

A large volcanic caldera located in the Jemez Mountains of northern New Mexico, known for its hot springs and geothermal activity.

Volcanic Domes

Rounded, steep-sided mounds formed by the slow eruption of viscous lava from a volcano.