Consider two perfectly negatively correlated risky securities A and B. A has an expected rate of return of 10% and a standard deviation of 16%. B has an expected rate of return of 8% and a standard deviation of 12%. The weights of A and B in the global minimum variance portfolio are and , respectively. Group of answer choices 0.24; 0.76 0.43; 0.57 0.76; 0.24 0.50; 0.50 0.57; 0.43

0.50 and 0.57

Explanation:

According to the scenario, computation of the given data are as follow:-

We can calculate the weight of global minimum variance portfolio by using following formula:-

Weight of A = standard deviation of security B ÷  standard deviation of security B + standard deviation of security A

= 12% ÷ (12%+16%)

= 0.12 ÷ (0.12+0.16)

= 0.12 ÷ 0.28

= 0.428571

= 0.50

Weight of B = 1 - Weight of A

= 1 - 0.428571

= 0.571429

= 0.57

According to the analysis, the weight of A is 0.50 and the weight of B is 0.57.

answer; im thinking the correct answer is (7years);