Consider two perfectly negatively correlated risky securities, A and B. Security A has an expected rate...

Consider two perfectly negatively correlated risky securities, A and B. Security A has an expected rate of return of 16% and a standard deviation of return of 22%. B has an expected rate of return of 10% and a standard deviation of return of 24%. The weight of security B in the minimum-variance portfolio is _________.

a		62.01%
b		47.83%
c		45.75%
d		43.84%

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jeff jeffy answered 2 years ago

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