A portfolio is made up of share A and share B. Share A has a standard deviation of 16% and has a weight of 24% in the portfolio. Share B, on the other hand, has a standard deviation of 12% and a weight of 76% in the portfolio. The correlation coefficient of share A and share B is -0.96. Calculate the standard deviation of the portfolio. Select one: O a. 5.54% O b. 16.30% O c. 8.02% O d. 13.34%

A portfolio is made up of share A and share B. Share A has a standard deviation of 16% and has a weight of 24% in the portfolio. Share B, on the other hand, has a standard deviation of 12% and a weight of 76% in the portfolio. The correlation coefficient of share A and share B is -0.96. Calculate the standard deviation of the portfolio. Select one: O a. 5.54% O b. 16.30% O c. 8.02% O d. 13.34%

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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