【每日一练】CFA 一级（2015年）

Question：

Consider a portfolio with two assets. Asset A comprises 25% of the portfolio and has a standard deviation of 17.9%. Asset B comprises 75% of the portfolio and has a standard deviation of 6.2%. If the correlation of these two investments is 0.5, the portfolio standard deviation is closest to: 
A. 7.90%. 
B. 6.45%. 
C. 9.13%. 

Answer = A 
The standard deviation of a two-asset portfolio is given by the square root of the portfolio's variance: 

Using this formula, the existing standard deviation is calculated as follows: 

CFA Level I 
"Portfolio Risk and Return: Part I," Vijay Singal 
Section 2.3.3 

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