Consider an investment opportunity set formed with two securities that are perfectly negatively correlated. The global minimum variance portfolio has a standard deviation that is always __________.
A) equal to the sum of the securities standard deviations
B) equal to -1
C) equal to 0
D) greater than 0
Answer: C
If the answers is incorrect or not given, you can answer the above question in the comment box. If the answers is incorrect or not given, you can answer the above question in the comment box.