
Explanation:
Explanation:
The correct answer is B (2.1%).
Incorrect Interpretation (Option A): The calculation assumes a correlation of -1 (perfect negative correlation) instead of zero, leading to a portfolio standard deviation of 0%. This misinterprets the term "uncorrelated."
Correct Calculation (Option B): The portfolio standard deviation is calculated as follows:
An equally weighted portfolio consists of two securities, each with a standard deviation of 3%. If the two securities' returns are uncorrelated, the portfolio's standard deviation is closest to:
A
0.0%.
B
2.1%.
C
3.0%.
No comments yet.