Consider two risky securities A and B. A has an expected rate of return of 12% and a standard deviation of 16%. B has an expected rate of return of 8% and a standard deviation of 12%. The correlation coefficient of A and B is 0.4. Risk-free rate is 3%.

1. The weights of A and B in the optimal risky portfolio are _____ and _____, respectively. A. 0.54; 0.46 B. 0.50; 0.50 C. 0.52; 0.48 D. 0.43; 0.57 E. 0.61; 0.39

2. The expected return of the optimal risky portfolio is A. 10% B. 12% C. 8% D. 13%

3. The weights of A and B in the global minimum variance portfolio are____and____, respectively.

A. 0.35;0.65 B. 0.40;0.60 C. 0.27;0.73 D. 0.45;0.55

4. The risk of the global minimum variance portfolio is A. 11.21% B. 10.5% C.12% D. 11.5%