Question
Asset A has a calculated volatility of .20. Asset B has a calculated volatility of .40. The calculated covariance between A and B is -.025.
Asset A has a calculated volatility of .20. Asset B has a calculated volatility of .40. The calculated covariance between A and B is -.025. What is the portfolio volatility of a portfolio that is 25% invested in A, and 75% invested in B?
| 30.00% | ||
| 26.54% | ||
| 33.12% | ||
| 28.83% |
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Production And Operations Analysis
Authors: Steven Nahmias, Tava Lennon Olsen
7th Edition
1478623063, 9781478623069
