Question
Asset 1 has 6% expected return and 5% standard deviation.Asset 2 has 12% expected return and 10% standard deviation A. If the correlation coefficient is
Asset 1 has 6% expected return and 5% standard deviation.Asset 2 has 12% expected return and 10% standard deviation
A. If the correlation coefficient is less than one, then no portfolio obtained by combining assets 1 and 2 can have an expected return larger than 6%.
B. If the correlation coefficient is equal to one, then no portfolio obtained by combining assets 1 and 2 can have a standard deviation lower than 5%.
C. If the correlation coefficient is less than one, then no portfolio obtained by combining assets 1 and 2 can have an expected return smaller than 12%
D. If the correlation coefficient is less than one, then no portfolio obtained by combining assets 1 and 2 can have a standard deviation lower than 5%
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Financial Management For Decision Makers
Authors: Peter Atrill
8th Edition
129213433X, 978-1292134338
