Consider an Investment Opportunity Set Formed with Two Securities That

question 1

Multiple Choice

Consider an investment opportunity set formed with two securities that are perfectly negatively correlated.The global minimum variance portfolio has a standard deviation that is always

• A)greater than zero.
• B)equal to zero.
• C)equal to the sum of the securities' standard deviations.
• D)equal to -1.
• E)none of the above.

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Definitions:

Linear Regression Model

A mathematical approach that fits a linear equation to observed data to model how a dependent variable changes in relation to one or more independent variables.

Standard Deviation

A statistic that measures the dispersion or variation of a set of values from their mean.

Confidence Interval

A range of values, derived from a data set, within which the true parameter value is estimated to lie with a certain level of confidence.

Expected Value

The weighted average of all possible values of a random variable, weighted by their respective probabilities.