Question: Suppose you create a minimum-variance portfolio by combining two perfectly negatively correlated stocks, CRT and DMV. The expected return is 16% on CRT and 10%

Suppose you create a minimum-variance portfolio by combining two perfectly negatively correlated stocks, CRT and DMV. The expected return is 16% on CRT and 10% on DMV. The standard deviation is 20% for CRT and 30% for DMV. What is the weight of DMV in your portfolio?

A. 52%

B. 40%

C. 67%

D. 24%

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