Consider the data provided in the table below for a portfolio of Assets A and B. The correlation of the two assets is ? = -0.9523. What is the standard deviation of the returns of the portfolio?
Asset A Asset B
Portfolio Weights 0.33 0.67
Standard Deviation 0.5 0.6
A) 6.25%
B) 25%
C) 35%
D) 55%
E) 57.5%
B
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