Question
The correlation between A and B is 0.50. 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 0.50. 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 0.15 0.41
B 0.26 0.53
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Investments
Authors: William F. Sharpe, Gordon J. Alexander, Jeffery V. Bailey
6th Edition
8120321014, 978-8120321014
