Question: Part (c) (5 marks) You are going to construct a two-asset portfolio. Suppose firm ABC and XYZ have volatilities of 20% and 60% respectively, and

Part (c) (5 marks) You are going to construct a two-asset

Part (c) (5 marks) You are going to construct a two-asset portfolio. Suppose firm ABC and XYZ have volatilities of 20% and 60% respectively, and they are perfectly negatively correlated. What portfolio of these two stocks has a zero risk? To answer this question, you need to explicitly identify that portfolio. That is, you need to specify the weights of each asset of that portfolio. Note that simply having a guess' (e.g. 1/5 and 4/5 for each asset) will lead to a zero mark awarded. You need to justify your answers

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