Question: Consider two risky securities A and B with a correlation of -0.2. A has an expected rate of return of 10% and a standard deviation

Consider two risky securities A and B with a correlation of -0.2. A has an expected rate of return of 10% and a standard deviation of 16%. B has an expected rate of return of 8% and a standard deviation of 12%. The weights of B and A in the global minimum variance portfolio are _and _, respectively. The standard deviation of the minimum variance portfolio is _

A.Weights: 0.500; 0.500. The standard Deviation is 0.090

B.Weights: 0.229; 0.771. The standard Deviation is 0.092

C.Weights: 0.771; 0.229. The standard Deviation is 0.092

D.Weights: 0.617; 0.383. The standard Deviation is 0.086

E.Weights: 0.383; 0.617. The standard Deviation is 0.086

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