Question: Consider two risky securities, A and B. A has an expected rate of return of 13.2% and a standard deviation of 5.0%. B has an

Consider two risky securities, A and B. A has an expected

Consider two risky securities, A and B. A has an expected rate of return of 13.2% and a standard deviation of 5.0%. B has an expected rate of return of 7.7% and a standard deviation of 1.1%. Let G be the global minimum variance portfolio. The weights of A and B in the global minimum variance portfolio are 23% and 77% respectively. The coefficient of correlation between A and B is 0.76. Find the expected rate of return and standard deviation of the global minimum variance portfolio, G O 11.24%: 5.88% 10.24%: 3.88% O 8.97%: 1.88% O 7.55%; 6.25% O 9.55%: 3.68%

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