There are two risky securities available to trade, A and B. Security A has an expected return of 10% and volatility of 15%. Security B has an expected return of 15% and volatility of 20%. The correlation of the securities' returns is 1. What is the volatility of the minimum variance portfolio that you can construct from these two securities?

Answer rating: 100% (QA)

While its true that a minimum variance portfolio aims to minimize volatility its impossible to const... View the full answer