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What Is the Standard Deviation of a Portfolio of Two

Question 63

Multiple Choice

What is the standard deviation of a portfolio of two stocks given the following data? Stock A has a standard deviation of 30%.Stock B has a standard deviation of 18%.The portfolio contains 60% of stock A and the correlation coefficient between the two stocks is -1.0.


A) 0.0%
B) 10.8%
C) 18.0%
D) 24.0%

Correct Answer:

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