Question
The correlation between A and B is -0.22. Alice formed Portfolio X by investing in A and B. The expected return of Alice's portfolio is
The correlation between A and B is -0.22. Alice formed Portfolio X by investing in A and B. The expected return of Alice's portfolio is 0.19. Calculate the variance of Alice's portfolio. Express your answer as a decimal with four digits after the decimal point (e.g., 0.1234, not 12.34%).
| Asset | Expected Return | Standard Deviation |
| A | 0.07 | 0.34 |
| B | 0.17 | 0.45 |
no weights were provided
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Intermediate Financial Management
Authors: Eugene BrighamPhillip Daves
1st Edition
0324594712, 9780324594713
