Assume our world of available securities includes two risky stocks, ABC and XYZ, and Treasury-bills. The correlation coefficient between the two stocks is -0.3. Calculate the proportion, wABC , in the global minimum variance portfolio.

Expected return (%) Standard deviation (%)

ABC 17.64 24.03

XYZ 33.0 60.54

a.

14.61%

b.

63.12%

c.

80.18%

d.

19.82%

e.

87.66%