For the standard deviation of a minimum variance portfolio of two assets to be zero, the correlation between the assets must be __________.
A) - 100
B) - 1
C) 0
D) + 1
E) + 100

Question

Quizplus · Accepted Answer

The standard deviation of a minimum variance portfolio of two assets can be zero only if the correlation between the assets is -1, indicating perfect negative correlation. This allows for the complete offsetting of risk when the assets are combined in the portfolio.

For the Standard Deviation of a Minimum Variance Portfolio of Two