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Consider two perfectly positively correlated risky securities, A and B. Security A has an expected rate of return of 16% and a standard deviation of

  1. Consider two perfectly positively correlated risky securities, A and B. Security A has an expected rate of return of 16% and a standard deviation of return of 20%. B has an expected rate of return of 10% and a standard deviation of return of 30%. Solve for the minimum variance portfolio (i.e., what are the weights in A and B of the minimum variance portfolio). What is the variance of this portfolio?

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