INFORMATION ABOUT A PORTFOLIO THAT CONSISTS OF TWO ASSETS IS PROV...

112. - MOCK AND SAMPLE EXAMS CFA LEVEL I MOCK EXAM AFTERNOON VERSIONB QUESTIONS 2014
MOCK AND SAMPLE EXAMS CFA LEVEL I MOCK EXAM AFTERNOON VERSIONB QUESTIONS 2014

112. Information about a portfolio that consists of two assets is provided below:

Asset Portfolio Weight Standard Deviation

A 25% 12%

B 75% 16%

If the correlation coefficient between the two assets is 0.75, the standard deviation of the portfolio is

closest to:

A. 12.37%.

B. 14.39%.

C. 15.00%.