FOR A PORTFOLIO CONSISTING OF TWO ASSETS AND THE CORRELATION COEF...

114. - 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

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114. For a portfolio consisting of two assets and the correlation coefficient between these two assets is

+1.0, it is most likely that portfolio risk is:

A. greater than the weighted average of the risk of the two assets in the portfolio.

B. equal to the weighted average of the risk of the two assets in the portfolio.

C. less than the weighted average of the risk of the two assets in the portfolio.