Consider two perfectly negatively correlated risky securities, A and B. Security A has an expected rate of return of 16% and a standard deviation of return of 20%. B has an expected rate of return of 10% and a standard deviation of return of 30%. The weight of security B in the minimum-variance portfolio is ________.
A) 10%
B) 20%
C) 40%
D) 60%

Question

Quizplus · Accepted Answer

W_B = 11eaaae8_8b66_dcbd_a4b8_e1b3f071e213_TB6474_00 = .40

Consider Two Perfectly Negatively Correlated Risky Securities, a and B