Consider two correlated risky securities A and B with a correlation of 0.3. A has...
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Consider two correlated risky securities A and B with a correlation of 0.3. A has an expected rate of return of 16% and a standard deviation of 22%. B has an expected rate of return of 12% and a standard deviation of 18%. If a trader wants to invest all his money in stocks A and B and wants to minimize his portfolios risk, the weights of A and B in his portfolio are _____ and _____, respectively.
A.
0.76; 0.24
B.
0.45; 0.55
C.
0.64; 0.36
D.
0.50; 0.50
E.
0.36; 0.64
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