1 punten wooden Sodrachten Assume a world that satisfies the motion of portfolio theory. For cities and the title below shows the probabilities and associated returns for three possible states of the world scuss State of the world Probability Return Returna 1 20% 5 10% 2 OX 10 15 3 20% 15 20% Toetsen Modus Question: Which of the following statements is true! The word devion Archer The ected team of The standard visitor of THU MUA MAIL H THA H HH HH | | | | purile Assume a world that satisfies the assumptions of portfolio theory. In this world, only securities A and B are traded. The table below shows the expected return and risk of the two securities: Security E(R) O(R) A 12% 30% 00 B 20% 50% The correlation coefficient between the returns of A and B is 0,8. Investor Pel holds a long position of 4.000 in A and 6.000 in B. His wealth is 10.000. Question: The risk of the portfolio of Pel expressed by the standard deviation of the returns is closest to 37% 40% 43% 46%