Asked by
Parker Thomas
on Nov 03, 2024
Verified
In a two-security minimum variance portfolio where the correlation between securities is greater than −1.0,
A) the security with the higher standard deviation will be weighted more heavily.
B) the security with the higher standard deviation will be weighted less heavily.
C) the two securities will be equally weighted.
D) the risk will be zero.
E) the return will be zero.
Minimum Variance Portfolio
A portfolio constructed to achieve the lowest possible volatility or variability in returns among a set of potential assets.
Standard Deviation
A statistical measure that quantifies the dispersion or variability of a set of data points or investment returns around their mean (average).
- Understand the efficient frontier concept and pinpoint portfolios positioned on it.
Verified Answer
CS
Learning Objectives
- Understand the efficient frontier concept and pinpoint portfolios positioned on it.