A portfolio is composed of two stocks, A and B. Stock A has a standard deviation

Question

A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 5% while stock B has a standard deviation of return of 15%. The correlation coecient between the returns on A and B is .5. Stock A comprises 40% of the portfolio while stock B comprises 60% of the portfolio. The variance of return on the portfolio is . (a) .0035 (b) .0085 (c) .0094 (d) .0103
A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 5% while stock B has a standard deviation of return of 15%. The correlation coecient between the returns on A and B is .5. Stock A comprises 40% of the portfolio while stock B comprises 60% of the portfolio. The variance of return on the portfolio is . (a) .0035 (b) .0085 (c) .0094 (d) .0103

Explanation / Answer

A portfolio is composed of two stocks, A and B. Stock A has a standard deviation

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