The Standard Deviation of a Two-Asset Portfolio (With a Risky

Multiple Choice

The standard deviation of a two-asset portfolio (with a risky and a non-risky asset) is equal to:

A) the fraction invested in the risky asset times the standard deviation of the non-risky asset.
B) the fraction invested in the non-risky asset times the standard deviation of the risky asset.
C) the fraction invested in the risky asset times the standard deviation of that asset.
D) the fraction invested in the non-risky asset times the standard deviation of that asset.