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You invest $5m in asset 1 and $2m in asset 2. The volatilities and correlations are 1=30%, 2=10%, and 12=0.2. What is the portfolio variance?
You invest $5m in asset 1 and $2m in asset 2. The volatilities and correlations are 1=30%, 2=10%, and 12=0.2. What is the portfolio variance?
a) 4.92%
b) 4.80%
c) 5.90%
d) 7.53%
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