单选题
ABC has an expected return of 18% and a standard deviation of 20%. XYZ has an expected return of 32% and a standard deviation of 40%. What is the variance of a portfolio that invests 25% in ABC and the remainder in XYZ, if the correlation between the two securities is 70%?
【正确答案】
A
【答案解析】 The variance of the portfolio is
(0.25.×0.20)2+(0.75×0.40)2+2×0.25×0.75×0.20×0.40×0.70=0.1135.
Then the standard deviation is 0.3369.