【每日一练】CFA 一级(2015年)
Question:
Consider a portfolio with two assets. Asset A comprises 25% of the portfolio and has a standard deviation of 17.9%. Asset B comprises 75% of the portfolio and has a standard deviation of 6.2%. If the correlation of these two investments is 0.5, the portfolio standard deviation is closest to:
A. 7.90%.
B. 6.45%.
C. 9.13%.
Answer = A
The standard deviation of a two-asset portfolio is given by the square root of the portfolio's variance:
Using this formula, the existing standard deviation is calculated as follows:
CFA Level I
"Portfolio Risk and Return: Part I," Vijay Singal
Section 2.3.3
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