The Standard Deviation of a Two-Asset Portfolio Is a Linear

question 24

Multiple Choice

The standard deviation of a two-asset portfolio is a linear function of the assets' weights when

• A) the assets have a correlation coefficient less than zero.
• B) the assets have a correlation coefficient equal to zero.
• C) the assets have a correlation coefficient greater than zero.
• D) the assets have a correlation coefficient equal to one.
• E) the assets have a correlation coefficient less than one.

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Definitions:

Null Hypothesis

A hypothesis that suggests there is no statistical significance between the two variables being studied or no effect of a treatment.

Plus Four Estimate

A technique in estimating a binomial proportion and its confidence interval by adding four observations, two of which are successes and two are failures.

Population Proportion

The fraction or percentage of a population that exhibits a specific attribute or characteristic.

Small Bag

A compact container used for carrying personal items or goods.