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This information is for all questions: You are trying to make the least-risky portfolio possible from...

This information is for all questions:

You are trying to make the least-risky portfolio possible from this set of ETFs. Risk is being measured by Standard Deviation of returns (sigma).

ETF mu sigma

A 10% 25%

B 8% 15%

Correlation Coefficient (rho), A to B: -50%

What is the standard deviation (sigma) for a portfolio comprised of 50% A and 50%B?

Round your answer to three decimal places. Do not write your answer as a percent. IE: write 0.251 not 25.1%.

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Answer #1
Expected return Investment Proportion Standard Deviation Correlation Coefficient (A to B)
A 10% 50% 25%
B 8% 50% 15% -50%
Total 100%
Expected return of portfolio 0.090
Standard deviation of portfolio 0.109

Standard deviation of portfolio is 0.109

Formulas used in excel calculation:

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