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Question
Assume that you are considering a portfolio of two assets, A and B, with 40% invested in asset A and invested 60% in asset B. Assume also that the assets have the following statistics:
| Return | Variance | Covariance | |
| Asset A | 20 % | 0.20 | -0.01 |
| Asset B | 15 % | 0.10 |
a. Variance = 0.0480
b. Variance = 0.0632
c. Variance = 0.0656
d. Variance = 0.0728
Answer
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