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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%.
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
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