alleryStart learning →Two assets with SDs of 10% and 20% are mixed 50:50 with correlation of plus one. Portfolio SD?
A12.5%
B10.0%
C20.0%
D15.0%
Answer & Solution
Correct answer: D. 15.0%
With correlation of 1, portfolio SD is the weighted average of the SDs: 0.5 x 10% + 0.5 x 20% = 15%.
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