What is the expected return of a portfolio comprising of stocks A and B when the portfolio is constructed to drive the standard deviation of portfolio return to zero?

Consider two stocks, A and B

The returns on the stocks are perfectly negatively correlated.

What is the expected return of a portfolio comprising of stocks A and B when the portfolio is constructed to drive the standard deviation of portfolio return to zero?
A . 22.24
B . 20.48
C . 19.57
D . 24.62

View Answer

Answer: B