In a two-security minimum variance portfolio where the correlation between securities is greater than -1.0,

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Quizplus · Accepted Answer

In a two-security minimum variance portfolio, the security with the higher standard deviation will be weighted less heavily. This is because the portfolio seeks to minimize the overall variance or risk, and the security with the higher standard deviation contributes more to the portfolio's variance. Therefore, it is weighted less to reduce the overall risk of the portfolio.

In a Two-Security Minimum Variance Portfolio Where the Correlation Between