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Asset A has a calculated volatility of .20. Asset B has a calculated volatility of .40....

Asset A has a calculated volatility of .20. Asset B has a calculated volatility of .40. The calculated covariance between A and B is -.025. What is the portfolio volatility of a portfolio that is 25% invested in A, and 75% invested in B?

30.00%

26.54%

33.12%

28.83%

Solutions

Expert Solution

Portfolio beta is given by:

Portfolio beta = 28.83%

jeff jeffy answered 2 years ago
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