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Consider two securities, A and B. Security A has an expected rate of return of 16% and a standard deviation of return of 20%. B
Consider two 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%. The return correlation between A and B is -.2. The weight of security A in the minimum-variance portfolio is _____
A. 33.77%
B. 42.56%
C. 57.44%
D. 66.23%
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