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

Multiple Choice

Consider the following portfolio of assets: $$\begin{array} { | c | c | c | c | c | c | } \hline \text { Loan } i & \text { Weight } i & \text { Expected return i } & \sigma i & \sigma i^ { 2 } & \\\hline 1 & 0.45 & 15 \% & 6.05 \% & 36.60 \% & \mathrm { P } _ { 12 } = - 0.2 \\\hline 2 & 0.55 & 13 \% & 8.75 \% & 76.56 \% & \sigma _ { 12 } = - 4.0 \% \\\hline\end{array}$$ What is the variance of the portfolio (round to two decimals) ?

A) (0.45) ²(36.60%) + (0.55) ²(76.56%) + (0.45) (0.55) (-0.2) * (6.05%) (8.75%) = 27.95
B) (0.45) ²(36.60%) + (0.55) ²(76.56%) + 2(0.45) (0.55) (-0.2) * (6.05%) (8.75%) = 25.33
C) (0.45) (36.60%) + (0.55) (76.56%) + 2(0.45) ²(0.55) 2 (-0.2) * (6.05%) (8.75%) = 57.28
D) (0.45) (36.60%) + (0.55) (76.56%) + 2(0.45) (0.55) (-0.2) * (6.05%) (8.75%) = 53.34