Question

You have two assets. Asset E(R) volatility A 10% 14.8% B 12.14% 34.2% correlation 0.2 You...

You have two assets.

Asset E(R) volatility
A 10% 14.8%
B 12.14% 34.2%
correlation 0.2

You create a complete portfolio with both assets, by investing 31% in asset A.

What is the volatility of this portfolio?

Enter your answer as percentage with 2 decimals.

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Answer #1

Please refer to below spreadsheet for calculation and answer. Cell reference also provided.

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