Consider the following four risky assets: Expected Standard Country Retums Deviation Correlations Australia Austria Belgium...
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Consider the following four risky assets: Expected Standard Country Retums Deviation Correlations Australia Austria Belgium Canada Australia 7.00% 15.00% Australia 1.00 0.39 0.09 0.00 Austria 10.00% 21.14% Austria 0.39 1.00 0.17 0.37 Belgium 11.00% 22.96% Belgium 0.09 0.17 1.00 0.21 Canada 14.00% 38.15% Canada 0.00 0.37 0.21 1.00 The risk-free rate is 6%. A client has formed "Portfolio A" with weights of 20%, 30%, 20%, and 30% in Australia, Austria, Belgium, and Canada, respectively. Using the 4 country assets and the risk-free asset, find the portfolio that has the same expected return as "Portfolio A" but the lowest possible standard deviation. What is the standard deviation of that portfolio? Answer in decimal format, rounded to 4 decimal places. For example, if your answer is 12.124%, enter "0.1212". If your answer is 12.188%, enter "0.1219"
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