consider two perfectly negatively correlated risky securities A and B. A has an
ID: 2716899 • Letter: C
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%band a standard deviation of 12%. The weights of A and B in the global minimum variance portfolio are _ and _ respectively. A. 0.24 and 0.76 B. 0.50 and 0.50 C. 0.57 and 0.43 D. 0.43 and 0.57 E. 0.76 and 0.24 2 of 22 Question Question 3 of 22 (-4 Points) Question: Consider two perfectiy negatively correlated risky securities A and B A has an expected rate of return of 10% and a standard deviate 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 O A 0.24, 0.76 B 050,050 O C 0.57,0.43 D 043, 0.57 O E 0.76, 0.24 Next Unanswered Qu Next >Explanation / Answer
Answer: d)0.43,0.57
wA = 12 /(16 + 12) = 0,4286
wB = 1 - 0,4286 = 0,5714.
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