Consider a portfolio that is invested equally in Bitcoin (BTC) and Etherium (ETH). Assume that BTC and ETH are uncorrelated. Both have an expected return of 12%. The annualised volatility (standard deviation of returns) of BTC is 80% and that of ETH is 60%. What is the annual variance of this portfolio?

Select one alternative:

• 12%
• 50%
• 25%
• 84%
• 70%

In the context of the Markowitz optimal portfolio, select the correct statement. The Markowitz optimal portfolio ...

Select one alternative:

• Requires a variance-covariance matrix and a vector of expected returns as inputs
• All of the statements are correct
• Generates portfolio weights that add up to 100% across all assets
• Maximises the (in-sample) Sharpe ratio of the portfolio
• Assumes that investors have mean-variance preferences (or a utility function that implies the same)