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Consider two perfectly negatively correlated risky securities A and B. A has an expected rate of return of 12% and a standard deviation of 17%.

Consider two perfectly negatively correlated risky securities A and B. A has an expected rate of return of 12% and a standard deviation of 17%. B has an expected rate of return of 9% and a standard deviation of 14%.

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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