Question: Security Expected Return Beta Standard Deviation of Returns A 2.1 0.45 B 7% 0.10 C 14% 1.5 0.6 D 6% 0.46 0.3 Risk-free 2.0% Market

Security

Expected Return

Beta

Standard Deviation of Returns

A

2.1

0.45

B

7%

0.10

C

14%

1.5

0.6

D

6%

0.46

0.3

Risk-free

2.0%

Market Index

7%

Assume the correlation between the returns of security C and security D is -1. What is the expected return for the global minimum variance portfolio?

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