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You have observed the following information below: Security Expected return Standard deviation 1 9% 0.3 2 7% 0.2 Now, you know the correlation between security

You have observed the following information below:

Security Expected return Standard deviation
1 9% 0.3
2 7% 0.2

Now, you know the correlation between security 1 and 2 is -1. Please find 1) the minimum standard deviation portfolios weights; 2) the standard deviation of the minimum standard deviation portfolio; 3) the expected return of the minimum standard deviation portfolio; 4) In a normal market, what must be the risk-free rate of interest? (Hint: please refer to pages 44-47 of slide deck 9).

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