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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 _________.

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jepessoa

Answer:

equal 0.

Explanation:

If both stocks are perfectly negatively correlated, then the standard deviation will always be 0. For example, if the variance of stock A is -0.5, then the variance of stock B will be 0.5, so the standard deviation will be 0. The variance of each stock will cancel the variance of the other one.

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