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Portfolio standard deviation and diversification (LO 31 The standard deviations of returns on assets A and B ore 8 per cent and 12 per cent,

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Portfolio standard deviation and diversification (LO 31 The standard deviations of returns on assets A and B ore 8 per cent and 12 per cent, respectively. A portfolio is constructed consisting of 40 per cent in Asset A and 60 per cent in Asset B. Calculate the portfolio stando deviation if the correlation of returns between the two assets is: a) b) 0.4 co d) - Comment on your answers

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