Question: Suppose you plan to create a portfolio with two securities: Rolie and Polie. Rolie has an expected return of 6.0% with a standard deviation of

Suppose you plan to create a portfolio with two securities: Rolie

Suppose you plan to create a portfolio with two securities: Rolie and Polie. Rolie has an expected return of 6.0% with a standard deviation of 5.0%. Polie has an expected return of 18.0% with a standard deviation of 15.0%. The correlation between the returns of these two securities is perfectly negative. What percentage of your investment should be in Polie to make the portfolio risk free? What would be the expected return on the portfolio? O Portfolio weight in Polie = 40%; expected return on the portfolio = 10.80% O Portfolio weight in Polie = 60%; expected return on the portfolio = 13.20% O Portfolio weight in Polie = 75%; expected return on the portfolio = 15.00% O Portfolio weight in Polie = 25%; expected return on the portfolio = 9.00%

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