Question: Security A: Expected return 20%, Standard deviation 45%, Security B:Expected return 15%, Standard deviation 35%. Correlation: .01 Calculate security A's weight in the minimum variance

Security A: Expected return 20%, Standard deviation 45%,

Security B:Expected return 15%, Standard deviation 35%.

Correlation: .01

Calculate security A's weight in the minimum variance portfolio?

a. .36

b. .42

c. .32

d. .28

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