Consider the Following Portfolio of Assets What Is the Standard Deviation of the Portfolio (Round to |

Multiple Choice

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

A) (0.3) $\sqrt{82.00}$ + (0.7) $\sqrt{76.00}$ = 8.82%
B) $\sqrt{82.00}$ + $\sqrt{76.00}$ = 17.77%
C) $\sqrt{15.75}$ = 3.97%
D) $\sqrt{48.93}$ = 6.99%