Consider Two Perfectly Negatively Correlated Risky Securities a and B

question 16

Multiple Choice

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

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