An analyst at a bank concludes that the probability of default for a one-year, single-payment loan is 10.0 percent, and the bank will recover nothing if the loan defaults. The current risk-free rate of return is 3.5 percent. The minimum yieldto-maturity and minimum default risk premium, respectively, that the bank should demand on the loan are closest to:()

A.

B.

C.

完全负相关的证券A和证券B，其中证券A的标准差为30%、期望收益率为14%，证券B的标准差为25%、期望收益率为12%。以下说法正确的有( )。

A．最小方差证券组合为40%×A+60%×B

B．最小方差证券组合为5/11×A+6/11×B

C．最小方差证券组合的方差为14.8%

D．最小方差证券组合的方差为0