Consider the Following Portfolio of Assets What Is the Standard Deviation of the Portfolio (Round to |

question 62

Multiple Choice

Consider the following portfolio of assets: $$\begin{array} { | c | c | c | c | c | c | } \hline \text { Loan } i & \text { Weight } i & \text { Expected return i } & \sigma / & \sigma ^ { 2 } & \\\hline 1 & 0.30 & 13 \% & 9.06 \% & 82.0 \% & \mathrm { P } _ { 12 } = - 0.87 \\\hline 2 & 0.70 & 11 \% & 8.72 \% & 76.0 \% & \sigma _ { 12 } = - 75.0 \% \\\hline\end{array}$$ What is the standard deviation of the portfolio (round to two decimals) ?

• A)(0.3)\(\sqrt{82.00}\) + (0.7)\(\sqrt{76.00}\) = 8.82%
• B)\(\sqrt{82.00}\) + \(\sqrt{76.00}\) = 17.77%
• C)\(\sqrt{15.75}\) = 3.97%
• D)\(\sqrt{48.93}\) = 6.99%

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