Question
Consider the data provided in the table below for a portfolio of assets A and B. The portfolio weights and variances are given in the
Consider the data provided in the table below for a portfolio of assets A and B. The portfolio weights and variances are given in the table. The variances are expressed in decimal form. For example, if the standard deviation is 50%, then the variance is 0.52 = 0.25. The correlation of returns of the two assets is 0.77.
What is the standard deviation of the portfolio?
Asset A | Asset B |
| |
Portfolio Weights | 0.35 | 0.65 | |
Variances | 0.3364 | 00.3025 | |
Standard Deviation | 0.58 | 0.55 |
The standard deviation of the portfolio is ___. (Enter your answer in decimal form. Round to four decimal places.)
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