Suppose You Own a Two-Security Portfolio

question 20

Multiple Choice

Suppose you own a two-security portfolio.You have 35 percent of your money invested in Security X and the remainder in Security Y.The standard deviations of Securities X and Y are 10 percent and 15 percent,respectively.What is the correlation between the two securities if the portfolio variance is 0.013225?

• A) 0.0055
• B) 0.0137
• C) 0.3654
• D) 0.9148

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