Question: In a two-security minimum variance portfolio where the correlation between securities is greater than 1.0, A. The risk will be zero B. The two securities

In a two-security minimum variance portfolio where the correlation between securities is greater than 1.0,

A. The risk will be zero

B. The two securities will be equally weighted

C. The return will be zero

D. the security with the higher standard deviation will be weightedless heavily.

E. the security with the higher standard deviation will be weighted more heavily.

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