Consider a two-asset portfolio Asset A B Expected Return (r) 11.0% 10.6% SD () 21.5% 17.2% Weight
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Question:
Consider a two-asset portfolio
Asset | A | B |
Expected Return (r) | 11.0% | 10.6% |
SD (σ) | 21.5% | 17.2% |
Weight (w) | 0.78 | 1-0.78 |
Correlation | 0.30 |
Calculate the standard deviation (in % and two decimal places) of your portfolio.
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