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You are going to construct a two-asset portfolio. Suppose firm A and B have volatilities of 35% and 50% respectively, and are perfectly negatively correlated.

You are going to construct a two-asset portfolio. Suppose firm A and B have volatilities of 35% and 50% respectively, and are perfectly negatively correlated. What portfolio of these two stocks has a zero risk? To answer this question, you need to explicitly identify that portfolio. That is, you need to specify the weights of each asset of that portfolio. You need to justify your answers.

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