Question: Consider two assets, A and B. Asset A has an expected return of 12% and a standard deviation of 18% and Asset B has an

Consider two assets, A and B. Asset A has an expected

Consider two assets, A and B. Asset A has an expected return of 12% and a standard deviation of 18% and Asset B has an expected return of 14% and a standard deviation of 31%. The correlation coefficient between the two assets is -0.2. Which of the following portfolios has the lowest risk? A portfolio with a weight in A = 0.8, weight in B = 0.2 A portfolio with a weight in A = 0.6, weight in B = 0.4 A portfolio with a weight in A = 0.7, weight in B = 0.3 Submit

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