A portfolio combines two assets: X and Y. The proportion of Asset X in the portfolio is 25%, and the proportion of Asset Y is 75%. The standard deviation of Asset X is 6% and the variance of Asset Y is 2%. Returns of Asset X and Asset Y are positively correlated as far as the correlation coefficient equals 0.44. What is standard deviation of this portfolio? 7.03% O 12.11% 10.29% O 11.35%
A portfolio combines two assets: X and Y. The proportion of Asset X in the portfolio is 25%, and the proportion of Asset Y is 75%. The standard deviation of Asset X is 6% and the variance of Asset Y is 2%. Returns of Asset X and Asset Y are positively correlated as far as the correlation coefficient equals 0.44. What is standard deviation of this portfolio? 7.03% O 12.11% 10.29% O 11.35%
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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![A portfolio combines two assets: X and Y. The proportion of Asset X in the portfolio is 25%, and the
proportion of Asset Y is 75%. The standard deviation of Asset X is 6% and the variance of Asset Y is
2%. Returns of Asset X and Asset Y are positively correlated as far as the correlation coefficient
equals 0.44. What is standard deviation of this portfolio?
7.03%
12.11%
10.29%
11.35%](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Fb2edb877-b534-4b97-81f1-f82495ad375e%2F1c4cab26-5eef-4638-93c2-dee07e8602ef%2Fylrxksd_processed.jpeg&w=3840&q=75)
Transcribed Image Text:A portfolio combines two assets: X and Y. The proportion of Asset X in the portfolio is 25%, and the
proportion of Asset Y is 75%. The standard deviation of Asset X is 6% and the variance of Asset Y is
2%. Returns of Asset X and Asset Y are positively correlated as far as the correlation coefficient
equals 0.44. What is standard deviation of this portfolio?
7.03%
12.11%
10.29%
11.35%
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