Question: Consider the following data on returns (R), standard deviation (), weights (W), and correlations (r) for two stocks: R 1 = 10%, 1 = 4%,

Consider the following data on returns (R), standard deviation (), weights (W), and correlations (r) for two stocks:

R1 = 10%, 1 = 4%, R2 = 20%, 2 = 6%, r12 = -1.0, W1=0.50, W2=0.50

What is the standard deviation of a portfolio of stocks 1 and 2 with the above weights?

1.

1.0%
2.

10%
3.

0.20%
4.

1.10%
5.

None of the above (answers1-4 wrong)

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