Business, 19.08.2021 21:50 clevelandjaniya1

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%. Required:
a. What are the weights of A and B in the global minimum variance portfolio respectively?
b. What is the rate of return on the risk-free portfolio that can be formed with the two securities ?

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Consider two perfectly negatively correlated risky securities A and B. A has an expected rate of ret...

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