The volatility of a portfolio that is equally invested in Duke Energy and Microsoft is closest to ________

Consider the following expected returns, volatilities, and correlations:

Stock Expected
Return Standard
Deviation Correlation with
Duke Energy Correlation with
Microsoft Correlation with
Wal-Mart
Duke Energy 14% 6% 1.0 -1.0 0.0
Microsoft 44% 24% -1.0 1.0 0.7
Wal-Mart 23% 14% 0.0 0.7 1.0

A) 8.1%
B) 9.0%
C) 10.8%
D) 5.4%


Answer: B

Business

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