Exhibit 7B $\sigma$ ₁)² - R_{1 $\sigma$ 1) E $\sigma$ 2)] - [E $\sigma$}

Exhibit 7B.1
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
The general equation for the weight of the first security to achieve the minimum variance (in a two stock portfolio) is given by:
W₁ = [E( $\sigma$ ₁) ² - r_1.2 E( $\sigma$ ₁) E( $\sigma$ ₂) ] - [E( $\sigma$ ₁) ² + E( $\sigma$ ₂) ² - 2 r_1.2 E( $\sigma$ ₁) E( $\sigma$ ₂) ]
-Refer to Exhibit 7B.1. What is the value of W₁ when r_1.2 = -1 and E( $\sigma$ ₁) = .10 and E( $\sigma$ ₂) = .12?

A) 45.46%
B) 50.00%
C) 59.45%
D) 54.55%
E) 74.55%