SFA Exam Russia

Practice session

An investment portfolio comprises two risky securities: Stock 1 with portfolio weight w_1 = 0.60 and annual standard deviation sigma_1 = 15.0%, and Stock 2 with weight w_2 = 0.40 and annual standard deviation sigma_2 = 25.0%. The correlation coefficient between the returns of the two stocks is rho_12 = 0.20. What is the standard deviation of the portfolio?

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