Consider the Following Probability Distribution for Stocks a and B

Multiple Choice

Consider the following probability distribution for stocks A and B: $\begin{array}{cccc}\text { State } & \text { Probability } & \text { Return on Stock A } & \text { Return on Stock B } \\1 & 0.10 & 10 \% & 8 \% \\2 & 0.20 & 13\% & 7\% \\3 & 0.20 & 12\% & 6\% \\4 & 0.30 & 14\% & 9\% \\5 & 0.20 & 15\% & 8 \%\end{array}$
Let G be the global minimum variance portfolio. The weights of A and B in G are __________ and __________, respectively.

A) 0.40; 0.60
B) 0.66; 0.34
C) 0.34; 0.66
D) 0.77; 0.23
E) 0.23; 0.77