9- Consider two perfectly negatively correlated risky securities, K and L. K has an expected rate of return of 13% and a standard deviation of 19%. L has an expected rate of return of 10% and a standard deviation of 18%. The weights of K and L in the global minimum variance portfolio are and , respectively. a) 0.50; 0.50 b) O 01383 0.24; 0.76 c) 0.49; 0.51 d) 0.46; 0.54 e) 0.76; 0.24

Essentials Of Investments
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ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
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9- Consider two perfectly negatively correlated risky securities, K and L. K has an expected rate of return of 13% and
a standard deviation of 19%. L has an expected rate of return of 10% and a standard deviation of 18%.
The weights of K and L in the global minimum variance portfolio are
and
respectively.
a) O 0.50; 0.50
b) O
01383
0.24; 0.76
c) O 0.49; 0.51
d) O 0.46; 0.54
e) O 0.76; 0.24
Transcribed Image Text:9- Consider two perfectly negatively correlated risky securities, K and L. K has an expected rate of return of 13% and a standard deviation of 19%. L has an expected rate of return of 10% and a standard deviation of 18%. The weights of K and L in the global minimum variance portfolio are and respectively. a) O 0.50; 0.50 b) O 01383 0.24; 0.76 c) O 0.49; 0.51 d) O 0.46; 0.54 e) O 0.76; 0.24
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