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The following data are available for two securities: Asset A...

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Finance

The following data are available for two securities:

Asset A Asset B
Expected Return 10% 10%
Standard Deviation 3% 3%

An an investor forms a portfolio of 50% in Asset A and 50% in Asset B. If the correlation between the two assets is 1.0, the coefficient of variation for the portfolio is closest to:

Multiple Choice

  • 0.30.

  • 0.03.

  • 0.0009.

  • 3.33.

  • 0.10.

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