Question: Consider the data provided in the table below for a portfolio of assets A and B. The portfolio weights and variances are given in the
Consider the data provided in the table below for a portfolio of assets A and B. The portfolio weights and variances are given in the table. The variances are expressed in decimal form. For example, if the standard deviation is 50%, then the variance is 0.52 = 0.25. The correlation of returns of the two assets is 0.64.
What is the standard deviation of the portfolio?
| Asset A | Asset B |
| |
| Portfolio Weights | 0.07 | 0.93 | |
| Variances | 0.2601 | 0.4356 | |
| Standard Deviation | 0.51 | 0.66 |
The standard deviation of the portfolio is ____. (Enter your answer in decimal form. Round to four decimal places.)
Step by Step Solution
There are 3 Steps involved in it
Get step-by-step solutions from verified subject matter experts
