QUESTION 21 Consider two perfectly negatively correlated risky securities A and B. A has an expected rate of return of 12% and a standard deviation of 15%. B has an expected rate of return of 9% and a standard deviation of 12%. The weights of A and B in the global minimum variance portfolio are_ and_ respectively. A. 0.44; 0.56 B.0.56; 0.44 C.0.76; 0.24 D. 0.45: 0.55 E. 0.50; 0.50 QUESTION 22 The risk-free rate is 4 percent. The expected market rate of return is 11 percent. If you expect CAT with a beta of 0.8 to offer a rate of retum of 10 percent, you should A. sell stock short CAT because it is underpriced. B. sell short CAT because it is overpriced. buy CAT because it is overpriced. D. buy CAT because it is underpriced. E. hold CAT because it is fairly priced. QUESTION 23 You manage a risky portfolio P that has the following characteristics: expected return = 16% and the standard deviation of the return of your portfolio = 20%. The risk-free rate is at 4%. Your client wants to invest a proportion of her total investment budget in your risky portfolio to maximize expected return and at the same time limit the volatility to no higher than 1496 on her overall portfolio. Then the proportion she should invest in your risky portfolio is A. 80% B. 75% C. 70% D.78% E. 65%