In a Two-Security Minimum Variance Portfolio Where the Correlation Between

Multiple Choice

In a two-security minimum variance portfolio where the correlation between securities is greater than −1.0,

A) the security with the higher standard deviation will be weighted more heavily.
B) the security with the higher standard deviation will be weighted less heavily.
C) the two securities will be equally weighted.
D) the risk will be zero.
E) the return will be zero.