A portfolio consists of two securities: a 90-day T-bill and the S&P/TSX Composite.The expected return on the T-bill is 4.5 percent.The expected return on the S&P/TSX Composite is 12 percent with a standard deviation of 20 percent.What is the portfolio standard deviation if the expected return for this portfolio is 15 percent?
A) 8.13%
B) 12.00%
C) 16.80%
D) 28.00%

Question

Quizplus · Accepted Answer

Weight in S&P/TSX,11ea8229_34c2_c0f4_bbd8_c537e77bd599_TB1726_11,Weight in risk-free asset = 1 - 1.4 = -0.4 11ea8229_34c2_c0f5_bbd8_8743ac992a06_TB1726_11

A Portfolio Consists of Two Securities: a 90-Day T-Bill and the S&P/TSX