A two-asset portfolio is made up of 80% of Share A, for which the variance is 50, and 20% of Share B, with variance 60. The covariance between the two shares is 25. What is the standard deviation of the two-asset portfolio? A) 8.54% B) 9.63% C) 6.51% D) 7.23%
A two-asset portfolio is made up of 80% of Share A, for which the variance is 50, and 20% of Share B, with variance 60. The covariance between the two shares is 25. What is the standard deviation of the two-asset portfolio? A) 8.54% B) 9.63% C) 6.51% D) 7.23%
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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5. A two-asset portfolio is made up of 80% of Share A, for which the variance is 50, and 20% of Share B, with variance 60. The covariance between the two shares is 25. What is the standard deviation of the two-asset portfolio?
A) 8.54%
B) 9.63%
C) 6.51%
D) 7.23%
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