Consider two perfectly negatively correlated risky securities K and L. K has an expected rate of return of 10% and a standard deviation of 19%. L has an expected rate of return of 13% and a standard deviation of 16%. The global minimum variance portfolio that can be formed with the two securities will earn _____ rate of return.

Note: first calculate the weight invested in each asset for the minimum variance portfolio of two perfectly negatively correlated assets, the weight invested in K is given by the standard deviation of asset L divided by the sum of the standard deviation of asset K and L (See BKM p.213).

		11.62
		10.4%
		10.9%
		9.5%