Consider Two Perfectly Negatively Correlated Risky Securities a and B

Multiple Choice

Consider two perfectly negatively correlated risky securities A and B. A has an expected rate of return of 12% and a standard deviation of 17%. B has an expected rate of return of 9% and a standard deviation of 14%. The weights of A and B in the global minimum variance portfolio are _____ and _____, respectively.

A) 0.24; 0.76
B) 0.50; 0.50
C) 0.57; 0.43
D) 0.45; 0.55
E) 0.76; 0.24