The weight of security b in the minimum-variance portfolio


Consider two perfectly negatively correlated risky securities, A and B. Security A has an expected rate of return of 16% and a standard deviation of return of 24%. B has an expected rate of return of 10% and a standard deviation of return of 30%. The weight of security B in the minimum-variance portfolio is   

A. 0.80

B. 0.44

C. 0.65

D. 0.72 Please show all steps

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Financial Management: The weight of security b in the minimum-variance portfolio
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