Suppose the returns of assets A and B are perfectly negatively correlated, and shortselling of both assets is allowed. Which of the following statements are true?

(a) The volatility of the Minimum Variance Portfolio must be equal to zero.

(b) The expected return of the Minimum Variance Portfolio must be equal to zero.

(c) A rational and riskaverse investor would never want to invest only in asset A.

(d) The volatility of the Minimum Variance Portfolio must be larger than the volatility of the return of asset A.

(e) None of the above.

Question

Suppose the returns of assets A and B are perfectly negatively correlated, and shortselling of both assets is allowed. Which of the following statements are true?

(a) The volatility of the Minimum Variance Portfolio must be equal to zero.
(b) The expected return of the Minimum Variance Portfolio must be equal to zero.
(c) A rational and riskaverse investor would never want to invest only in asset A.
(d) The volatility of the Minimum Variance Portfolio must be larger than the volatility of the return of asset A.
(e) None of the above.

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Question

Suppose the returns of assets A and B are perfectly negatively correlated, and shortselling of both assets is allowed. Which of the following statements are

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