Author Question: Consider the data provided in the table below for a portfolio of Assets A and B. The correlation of ... (Read 46 times)

chandani · **on:** Apr 25, 2021

Question 1

Consider a 2 asset portfolio with 60% in Google Inc. (GOOG) and 40% in John Deere (DE). Google has a standard deviation of 60%, John Deere has a standard deviation of 45% and their correlation is 0.2. What is the standard deviation of returns of the portfolio?
◦ 38.33%
◦ 43.35%
◦ 45.25%
◦ 50.00%
◦ 52.50%

Question 2

Consider the data provided in the table below for a portfolio of Assets A and B. The correlation of the two assets is ρ = -0.9523. What is the standard deviation of the returns of the portfolio?

	Asset A	Asset B
Portfolio Weights	0.33	0.67
Standard Deviation	0.5	0.6

◦ 6.25%
◦ 25%
◦ 35%
◦ 55%
◦ 57.5%

komodo7 · **Reply #1 on:** Apr 25, 2021

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