Question: Asset A (expected return) = 0.08 Asset A (standard deviation) = 0.15 Asset B (expected return) = 0.12 Asset B (standard deviation) = 0.25 ~

Asset A (expected return) = 0.08

Asset A (standard deviation) = 0.15

Asset B (expected return) = 0.12

Asset B (standard deviation) = 0.25

~

The correlation of returns is 0.5, what is the standard deviation of the minimum variance portfolio?

a) 2%

b) 8.32%

c) 9.2%

d) 14.9%

e) None of the above.

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