问题
单项选择题
ABC has an expected return of 18% and a standard deviation of 20%. XYZ has an expected return of 32% and a standard deviation of 40%. What is the variance of a portfolio that invests 25% in ABC and the remainder in XYZ, if the correlation between the two securities is 70%
A．
| A. 33.7%. |
B．
| B. 30.0%. |
C．
| C. 11.4%. |
答案
参考答案：A
解析：
The variance of the portfolio is (0.25.×0.20)2+(0.75×0.40)2+2×0.25×0.75×0.20×0.40×0.70=0.1135. Then the standard deviation is 0.3369.