Kendra Jackson, CFA, is given the following information on two stocks, Rockaway and Bridgeport.
- Covariance between the two stocks = 0.0325
- Standard Deviation of Rockaway’s returns = 0.25
- Standard Deviation of Bridgeport’s returns = 0.13
Assuming that Jackson must construct a portfolio using only these two stocks, which of the following combinations will result in the minimum variance portfolio?
A. 100% in Bridgeport.
B. 50% in Bridgeport, 50% in Rockaway.
C. 80% in Bridgeport, 20% in Rockaway.
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