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(Single choice) Which of the following statements about the variance and standard deviation of portfolio returns is correct? The variance of portfolio return is the
(Single choice) Which of the following statements about the variance and standard deviation of portfolio returns is correct?
The variance of portfolio return is the weighted average of the variance of individual asset returns. | ||
Portfolio standard deviation cannot be larger than the weighted sum (using portfolio weights) of the standard deviation of individual assets in that portfolio. | ||
Combining assets with low return correlation cannot reduce portfolio variance. |
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