Question
You are considering investment in two risky securities. Security 1 has an expected return of 11% and a return standard deviation of 9%. Security 2
You are considering investment in two risky securities. Security 1 has an expected return of 11% and a return standard deviation of 9%. Security 2 has an expected return of 10% and a return standard deviation of 8%. The correlation coefficient of returns for these two risky securities is 0.4. What would the weights be for Security 1 and Security 2 in the minimum variance portfolio?
A. | 84.62% for Security 1 and 15.38% for Security 2 | |
B. | 34.48% for Security 1 and 65.52% for Security 2 | |
C. | 15.38% for Security 1 and 84.62% for Security 2 | |
D. | 40.27% for Security 1 and 59.73% for Security 2 | |
E. | 65.52% for Security 1 and 34.48% for Security 2 | |
F. | 59.73% for Security 1 and 40.27% for Security 2 |
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