Portfolio Management Q57
57Information about a portfolio that consist of two assets is provided below:
| Asset | Portfolio Weight | Standard deviation |
| ABC | 30% | 10% |
| JKL | 70% | 8% |
If the correlation coefficient between the two assets is 0.8, the standard deviation of the portfolio is closest to:
- Option : A
- Explanation : Portfolio standard deviation = √((0.3)² (0.1)² + (0.7)² (0.08)² + 2 (0.8)(0.3)(0.7)(0.1)(0.08)) = 0.082 = 8.2%.
Accessibility
Oversized Widget
Saved in this browser. Nothing changes for anyone else.