Question You are looking at two risky assets, the expected returns, standard deviations, and correlation between the two assets are given below: E(RA) = 6%, Standard deviation = 10%. E(RB) = 9%, Standard deviation = 20%. Correlation between the two assets is -0.5. All else equal, with 50% in A and 50% in B, if the correlation between the two assets increased from -0.5 to 0.0, | 1) the standard deviation of the portfolio would fall. 2) the standard deviation of the portfolio would be unaffected. 3) the standard deviation of the portfolio would rise. 4) the standard deviation of the portfolio would be zero. Question An investor develops a portfolio with 50% in a risk-free asset with a return of 6% and the rest in a risky asset with expected return of 10% and standard deviation of 15%. The standard deviation for the portfolio is 1) 6% 2) 7.5% 3) 10% 4) 15%