Question
Asset Expected Return Standard Deviation F (risk-free asset) 3% -- A 5% 20% B 8% 30% I create a portfolio P with 21% weight in
| Asset | Expected Return | Standard Deviation |
| F (risk-free asset) | 3% | -- |
| A | 5% | 20% |
| B | 8% | 30% |
I create a portfolio P with 21% weight in risky asset, A, and the rest of the weight in risky asset B. If correlation between returns for the risky assets is -0.79 then the standard deviation of returns for portfolio P is _______________%.
(round your answer to 2 decimals)
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Commodity Trade And Finance
Authors: Michael Tamvakis
2nd Edition
041573245X, 978-0415732451
