You have $20,000 available to invest in two securities A and B and a one-year investment horizon. Security A has an expected return of 10% and a standard deviation of 30% while security B has an expected return of 5% and a standard deviation of 20%. If the returns on these securities are perfectly negatively correlated, the expected return of the minimum variance portfolio is closest to: A. 6.67%. B. 7.00%. C. 8.00%. D. 8.33%.

You have $20,000 available to invest in two securities A and B and a one-year investment horizon. Security A has an expected return of 10% and a standard deviation of 30% while security B has an expected return of 5% and a standard deviation of 20%. If the returns on these securities are perfectly negatively correlated, the expected return of the minimum variance portfolio is closest to: A. 6.67%. B. 7.00%. C. 8.00%. D. 8.33%.

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 18P

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