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 sta

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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.

0.43; 0.57

0.57; 0.43

0.24; 0.76

0.76; 0.24

0.50; 0.50

Giải thích

Chọn đáp án A

Giải thích:

wA = 12 /(16 + 12) = 0,4286;

wB = 1 - 0,4286 = 0,5714.