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Each column reports statistics for a particular investment. For example, the variance of Stock A...

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Finance

Each column reports statistics for a particular investment. For example, the variance of Stock A is 0.0200, the expected return of the market is 0.16, and the covariance of Stock C with the Market is 0.0013

STOCK STOCK STOCK TIBILLS

A B C

EXPECTED RETURN 0.19 0.15 0.09 0.07

VARIANCE .0200 .0196 .0205 .0000

COVARIANCE WITH MARKET .0070 .0045 .0013 .0000

What comes closest to the standard deviation of a portfolio half invested in TBills and half invested in the market?

Select one: a. 0.00 b. 0.09 c. 0.07 d. 0.16 e. 0.04

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