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GarryVolchara [31]
3 years ago
10

Consider an investment opportunity set formed with two securities that are perfectly negatively correlated. The global minimum-v

ariance portfolio has a standard deviation that is always _________.
A.) equal to -1
B.) greater than 0
C.) equal to the sum of the securities' standard deviations
D.) equal to 0
Business
1 answer:
natka813 [3]3 years ago
6 0

Answer:

D.) equal to 0

Explanation:

If a portfolio is made up of two securities that are perfectly negatively correlated, meaning that if one increases its value, the other one will decrease in the exact opposite way, the standard deviation of the portfolio will always be 0. You can determine the variance for each stock, but due to the perfectly negative correlation, they will cancel out.

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