Question: Consider the data provided in the table below for a portfolio of Assets A and B. The correlation of the two assets is = -0.9523.

Consider the data provided in the table below for a portfolio of Assets A and B. The correlation of the two assets is = -0.9523. What is the standard deviation of the returns of the portfolio?

Asset A Asset B
Portfolio Weight .33 .67
Standard Deviation .5 .6

A) 6.25%

B) 25%

C) 35%

D) 55%

E) 57.5%

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