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

Multiple Choice

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

A) (0.45) (?36.60) + (0.55) (?76.56) = 7.51%
B) (?36.60) + (?76.56) = 14.80%
C) ?57.28 = 7.57%
D) ?25.33 = 5.03%