问题
单项选择题
An analyst does research about the portfolio's standard deviation of return. A portfolio consisting of two securities has the following characteristics:
| Security | Portfolio Weight | Standard Deviation |
| 1 | 35% | 16% |
| 2 | 65% | 19% |
A. 12.22%
B. 14.78%
C. 14.93%
答案
参考答案：A
解析：
投资组合的方差
=0.352×0.162+0.552×0.192-2×0.35×0.55×0.16×0.19×0.25=0.00314+ 0.01525-0.00346=0.01493。
投资组合的标准差=0.014931/2=12.22%。
