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A portfolio has 30% of its value in IBM shares and the rest in Microsoft (MSFT). The standard
deviation of IBM and MSFT are 35% and 30%, respectively, and the correlation between IBM
and MSFT is 0.4 . What is the standard deviation of the portfolio?

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A portfolio has 30 of its value in IBM shares and the rest in Micros.pdf

  • 1. A portfolio has 30% of its value in IBM shares and the rest in Microsoft (MSFT). The standard deviation of IBM and MSFT are 35% and 30%, respectively, and the correlation between IBM and MSFT is 0.4 . What is the standard deviation of the portfolio?