Suppose that a portfolio manager can invest in two companies in the American market whose expected returns are 10% and 18% and whose standard deviations are 15% and 24% respectively. Determine the proportion to invest in asset 1 one to achieve a portfolio with the lowest possible risk if the correlation coefficient is equal to +2, short sales allowed.

choose the correct option

A. Response option group It is impossible to calculate, a correlation coefficient of 2 does not make sense

B. The optimal weight of asset 1 would be 50.5%

C. 100% in asset 1 because it has less volatility and with a correlation coefficient of +2 it cannot be diversified