The correlation between assets in a two-asset portfolio increases during a market decline. If there is no
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The correlation between assets in a two-asset portfolio increases during a market decline. If there is no change in the proportion of each asset held in the portfolio or the expected standard deviation of the individual assets, the volatility of the portfolio is most likely to:
A. Increase.
B. Decrease.
C. Remain the same.
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A is correct Higher correlations will produc...View the full answer
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Related Book For
Investments Principles Of Portfolio And Equity Analysis
ISBN: 9780470915806
1st Edition
Authors: Michael McMillan, Jerald E. Pinto, Wendy L. Pirie, Gerhard Van De Venter, Lawrence E. Kochard
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