Which one of the following correlation coefficients must apply to two assets if the equally weighted portfolio of those assets creates a minimum variance portfolio that has a standard deviation of zero?
A) -1.0
B) -0.5
C) 0.0
D) 0.5
E) 1.0

Question

Quizplus · Accepted Answer

A correlation coefficient of -1.0 indicates perfect negative correlation, allowing for complete risk elimination in an equally weighted portfolio, resulting in a standard deviation of zero.

Which One of the Following Correlation Coefficients Must Apply to Two