Multiple Choice
A portfolio consists of two securities: Nervy and Goofy.The expected return of Nervy is 12.0% with a standard deviation of 15.0%.The expected return of Goofy is 9.0% with a standard deviation of 10.0%.What is the portfolio standard deviation if 35% of the portfolio is in Nervy and the two securities have a correlation of 0.6?
A) 9.02%
B) 10.52%
C) 11.75%
D) 12.18%
Correct Answer:
Verified
Correct Answer:
Verified
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