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.