A Portfolio Has 35% of Its Funds Invested in Security

question 65

Multiple Choice

A portfolio has 35% of its funds invested in Security One and 65% of its funds invested in Security Two. Security One has a standard deviation of 6. Security Two has a standard deviation of 12. The securities have a coefficient of correlation of.5. Which of the following values is closest to portfolio variance?

• A) 81.
• B) 90.
• C) 27.
• D) 6561.