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There are 2 assets. Asset 1: Expected return 7.5%, standard deviation 9% Asset 2: Expected return 11%, standard deviation 12%. You are not sure about the correlation between 2 assets. You hold 30% of your portfolio in asset 1 and 70% in asset 2.

What is the highest possible variance of your portfolio?

Hint 1: Think how the portfolio variance depends on the correlation between 2 assets.

Hint 2: Think which values the correlation between Asset 1 and Asset 2 can get.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92866115

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