Question: Expected Return Standard Deviation Asset F 5% 10% Asset G 7% 20% T-bill 2% The correlation between Asset F and Asset G is 17%. Lets

Expected Return

Standard Deviation

Asset F

5%

10%

Asset G

7%

20%

T-bill

2%

The correlation between Asset F and Asset G is 17%.

Lets say you want construct a portfolio of only Asset F and Asset G that is equally weighted. What is the standard deviation of this portfolio?

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