QUESTIONS 115 THROUGH 120 RELATE TO PORTFOLIO MANAGEMENT

116. - MOCK AND SAMPLE EXAMS CFA LEVEL I MOCK EXAM AFTERNOON 2012
MOCK AND SAMPLE EXAMS CFA LEVEL I MOCK EXAM AFTERNOON 2012
116. A correlation matrix of the returns for securities A, B, and C is reported below: Security A B CA 1.0B 0.5 1.0C 0.0 –0.5 1.0Assuming that the expected return and the standard deviation of each security are the same, a portfolio consisting of an equal allocation of which two securities will be most effective for portfolio diversification? Securities: A. A and B. B. A and C. C. B and C.