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 risk-free portfolio that can be formed with the two securities will earn _____rate of return.

9.9%

6.2%

9.0%

8.5%

8.9%

Giải thích

Chọn đáp án E

Giải thích: E(RP) = 0,43(10%) + 0,57(8%) = 8,86%.