Question: Assume that the correlation coefficient between returns on X and Y is 0.2. What is the standard deviation of the return of a portfolio with

Assume that the correlation coefficient between returns on X and Y is 0.2.

What is the standard deviation of the return of a portfolio with 60% in Asset X and 40% in Asset Y?

E(r)

Standard Deviation

Risk-free Asset

4%

Asset X

10%

20%

Asset Y

6%

30%

Question 9 options:

17.0%

18.6%

20.3%

17.6%

15.2%

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