ABC has an expected return of 18% and a st
问题:
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%. |