Single-asset portfolio which would be the least risky

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Reference no: EM131900845

Security A has an expected return of 7%, a standard deviation of returns of 3.5%, a correlation coefficient with the market of -0.3%, and a beta coeficient of 0.5. Security B has an expected return of 12%, a standard deviation of returns to 10%, a correlation with the market of 0.7 and a beta coefficient of 1.0. In a diversified portfolio, which security is the least risky? In a single-asset portfolio which would be the least risky? Why?

Reference no: EM131900845

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