You are interested in investing in a portfolio that has the following expected returns and standard deviations:

Asset	Expected Return	Standard Deviation
Asset A	8%	10%
Asset B	12%	15%
Asset C	18%	20%

You want to invest in a portfolio that has an expected return of 12%. What is the minimum possible standard deviation of your portfolio if you invest in a combination of these assets? Assume that the correlation coefficients between the assets are as follows:

Correlation coefficient between A and B: 0.5

Correlation coefficient between A and C: -0.2

Correlation coefficient between B and C: 0.8

Answer rating: 100% (QA)

The detailed answer for the above question is provided below To determine the minimum possible standard deviation of the portfolio that has an expecte... View the full answer