单选题
Condider a portfolio with two assets. Asset A compnses 25% of the portfolio and has a standard deviation of 17.9%. Asset B comprises 75% of the portfolio and has a standerd deviation of 6.2%.If the correlation of these two investments is 0.5,the portfolio standard deviation is closest to:
【正确答案】
A
【答案解析】
The standard deviation of two-asset portfolio is given by the square root of the portfolio'variance:
Using this formula,the esidting standard deviation is calculated as follows:
