#5

You currently hold a portfolio of three stocks, Delta, Gamma, and Omega. Delta has a volatility of 55%, Gamma has a volatility of 23%, and Omega has a volatility of 38%. Suppose you invest 80% of your money in Delta, and 10% each in Gamma and Omega. a. What is the highest possible volatility of your portfolio? b. If your portfolio has the volatility in (a), what can you conclude about the correlation between Delta and Omega? a. What is the highest possible volatility of your portfolio? The highest possible volatility of your portfolio is \%. (Round to one decimal place.) b. If your portfolio has the volatility in (a), what can you conclude about the correlation between Delta and Omega? (Select the best choice below.) A. Correlation =0 B. Correlation =1 C. Correlation =1 D. Correlation =0.5