Your client, Bo Regard, holds a complete portfolio that consists of a portfolio of risky assets (P) and T-Bills. The information below refers to these assets.
E(rP) = 15%
σP = 8.5%
T-Bill rate = 3%
Proportion of complete Portfolio in P = 70%
Proportion of complete Portfolio in T-Bills = 30%
Composition of P: |
|
Stock A Stock B Stock C |
30% 50% 20% |
What is the standard deviation of Emma's complete portfolio?
Select one:
a. 6.45%
b. 5.95%
c. 7.78%
d. 3.21%
e. 8.64%
Answer - Option B. 5.95%
Standard deviation of risk free asset and its correlation with any other asset = 0
standard deviation = 5.95%
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