Consider Two Perfectly Negatively Correlated Risky Securities, K and L

question 19

Multiple Choice

Consider two perfectly negatively correlated risky securities, K and L. K has an expected rate of return of 13% and a standard deviation of 21%. L has an expected rate of return of 10% and a standard deviation of 15%. The weights of K and L in the global minimum variance portfolio are _____ and _____, respectively.

• A) 0.2411; 0.7261
• B) 0.5000; 0.5000
• C) 0.4167; 0.5833
• D) 0.4532; 0.5511
• E) 0.7665; 0.2488

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