Consider perfectly negatively correlated risky securities

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Reference no: EM13880664

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 16%.

(a) If you invest 25% of your money in K and 75% in L, what would be your portfolio's expected rate of return and standard deviation?

(b) What are the weights of K and L in the global minimum variance portfolio?

Reference no: EM13880664

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