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Consider two perfectly negatively correlated risky funds D and E
Consider two perfectly negatively correlated risky funds D and E. Fund D has an expected rate of return of 14% and a standard deviation of 20%. Fund E has an expected rate of return of 10% and a standard deviation of 15%. a. What are the weights of the two risky funds D and E in the global minimum variance portfolio? 3 marks b. Calculate the rate of return that the risk-free portfolio can earn with these two risky funds D and E.
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