What set of weights yields a portfolio with zero variance

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Reference no: EM131552276

Stock A has an expected return of 10% and a standard deviation of 10%. Stock B has an expected return of 15% and a standard deviation of 20%. The two stocks are perfectly negatively correlated (1,2 = -1). What set of weights yields a portfolio with a zero variance? a. 2/3 in Stock A; 1/3 in Stock B b. 2/3 in Stock B; 1/3 in Stock A c. 2 in Stock A; -1 in Stock B d. 2 in Stock B; -1 in Stock A e. None of these. *I'm pretty sure it is either A or B, but I am not completely certain. Can someone clarify which it is and why?

Reference no: EM131552276

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