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You own a portfolio that has 40% invested in asset A, and 60% invested in asset B. Asset A's standard deviation is 10% and asset
You own a portfolio that has 40% invested in asset A, and 60% invested in asset B.
Asset A's standard deviation is 10% and asset B's standard deviation is 16%.
The correlation coefficient between the two assets is 0.12. The expected return on the portfolio is 16%. What is the portfolio standard deviation?
Possible Answers:
| A) 7.3% | ||
| B) 10.8% | ||
| C) 6.45% | ||
| D) 8.1% |
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