The Standard Deviation of a Two-Asset Portfolio (With a Risky

question 13

Multiple Choice

The standard deviation of a two-asset portfolio (with a risky and a non-risky asset) is equal to:

• A) the fraction invested in the risky asset times the standard deviation of the non-risky asset.
• B) the fraction invested in the non-risky asset times the standard deviation of the risky asset.
• C) the fraction invested in the risky asset times the standard deviation of that asset.
• D) the fraction invested in the non-risky asset times the standard deviation of that asset.

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