A Portfolio Consists of Two Securities: Nervy and Goofy

question 100

Multiple Choice

A portfolio consists of two securities: Nervy and Goofy.The expected return of Nervy is 12.0% with a standard deviation of 15.0%.The expected return of Goofy is 9.0% with a standard deviation of 10.0%.What is the portfolio standard deviation if 35% of the portfolio is in Nervy and the two securities have a correlation of 0.6?

• A)9.02%
• B)10.52%
• C)11.75%
• D)12.18%

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