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%?

A、

A. 33.7%.
B、

B. 30.0%.
C、

C. 11.4%.

【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.