An Investor Wishes to Construct a Portfolio Consisting of a 70

question 46

Multiple Choice

An investor wishes to construct a portfolio consisting of a 70% allocation to a stock index and a 30% allocation to a risk free asset. The return on the risk-free asset is 4.5% and the expected return on the stock index is 12%. The standard deviation of returns on the stock index 6%. Calculate the expected standard deviation of the portfolio.

• A) 4.20%
• B) 25.20%
• C) 3.29%
• D) 10.80%
• E) 5.02%

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