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kvasek [131]
3 years ago
10

As a portfolio manager you are allowed to invest in two different ats: A and B, with annualised volatilities 10% and 20% respect

ively. Here, volatility means the standard deviation of the asset ssume that A and B asset returns are independent. What is the smallest portfolio volatility that can be achieved by investing only in these two assets? Select the closest answer. Pick one of the choices 09.3% 10% 8.9% 15%
Mathematics
1 answer:
julia-pushkina [17]3 years ago
4 0

Answer:

correct option is B.  10%

Step-by-step explanation:

given data

assets A annualised volatility = 10%

assets B annualised volatility = 20%

solution

we both A and B assets are 10% and 20% respectively

and we know that to achieve smallest portfolio volatility

we need to invest completely in the asset which has least volatility

and volatility can not be less than the asset having least volatility

so here minimum volatility that can be achieved is  = 10%

so correct option is B.  10%

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