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Consider two perfectly negatively correlated risky securities, A and B. Security A has an expected rate of return of 16% and a standard deviation of return of 20 B has an expected rate of return of 10% and a standard deviation of return of 30%. The weight of security B in the minimum ariance portfolio is A. 10% B. 20 C. 40 D. 60 10. Stock A has a beta of 1.2, and stock B has a beta of 1. The returns of stock A are sensitive to changes in the market than are the returns of stock B. A. 20% more B. slightly more C. 20% less D. slightly less 11. A stock has a correlation with the market of .45. The standard deviation of the market is 21 and the standard deviation of the stock is 35 What is the stock's beta? A. 1 B. 75 C. .60 D. .55 12. Which of the following correlation coefficients will produce the least diversification benefit?

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Financial Management, Finance

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