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You own a portfolio that has 65% invested in asset A, and 35% invested in asset B. Asset A's standard deviation is 15% and asset B's standard deviation is 11%. The correlation coefficient between the two assets is -0.32. The expected return on the portfolio is 11%.

Required:

Question: What is the portfolio standard deviation?

13.1%

11.2%

6.5%

9.3%

Note: Please provide full description.

Basic Finance, Finance

  • Category:- Basic Finance
  • Reference No.:- M91148413

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