The Expected Returns for ABC Company and XYZ Company Are

Multiple Choice

The expected returns for ABC Company and XYZ Company are 12 percent and 9 percent,respectively.The standard deviation is 20 percent for ABC and 15 percent for XYZ.What is the portfolio standard deviation if one-third of the portfolio is in ABC and the two securities have perfect positive correlation?

A) 16.67%
B) 10.00%
C) 2.78%
D) 1.00%