Consider the Following Portfolio of Assets What Is the Variance of the Portfolio (Round to Two

Multiple Choice

Consider the following portfolio of assets: $$\begin{array} { | c | c | c | c | c | c | } \hline \text { Loan } i & \text { Weight } i & \text { Expected return } i & \sigma 1 & \sigma 1^ { 2 } & \\\hline 1 & 0.30 & 13 \% & 9.06 \% & 82.0 \% & \mathrm { P } _ { 12 } = - 0.87 \\\hline 2 & 0.70 & 11 \% & 8.72 \% & 76.0 \% & \sigma _ { 12 } = - 75.0 \% \\\hline\end{array}$$ What is the variance of the portfolio (round to two decimals) ?

A) (0.3) ²(82.0%) + (0.7) ²(76.0%) + (0.3) (0.7) (-0.87) * (9.06%) (8.72%) = 30.19
B) (0.3) ²(82.0%) + (0.7) ²(76.0%) + [(0.3) (0.7) ]² * (-0.87) * (9.06%) (8.72%) = 41.59
C) (0.3) ²(82.0%) + (0.7) ²(76.0%) + 2(0.3) (0.7) (-0.87) * (9.06%) (8.72%) = 15.75
D) (0.3) (82.0%) + (0.7) (76.0%) + 2(0.3) (0.7) (-0.87) * (9.06%) (8.72%) = 48.93