Chartered Financial Analyst Level 1
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A portfolio consisting of two securities has the following characteristics:
- Security 1: 40% weight, 15% standard deviation
- Security 2: 60% weight, 18% standard deviation
If the correlation of returns between the two securities is 0.20, the portfolio's standard deviation of returns is closest to:
A portfolio consisting of two securities has the following characteristics:
- Security 1: 40% weight, 15% standard deviation
- Security 2: 60% weight, 18% standard deviation If the correlation of returns between the two securities is 0.20, the portfolio's standard deviation of returns is closest to:
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