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Security Expected Return Beta Standard Deviation of Returns A 1.7 0.50 B 8% 0.15 C 15% 0.50 D 7.0% 0.30 Risk-Free 1.0% Market Index 1.0%
Security | Expected Return | Beta | Standard Deviation of Returns |
A | 1.7 | 0.50 | |
B | 8% | 0.15 | |
C | 15% | 0.50 | |
D | 7.0% | 0.30 | |
Risk-Free | 1.0% | ||
Market Index | 1.0% |
Assume the correlation between the returns of security C and Security D is - 1. What is the standard deviation of returns for a portfolio of 30% of asset C and 70% of asset D? (round to 2 decimal places)
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