Assume the standard deviation of the U.S. market portfolio is 18.2%, the standard deviation of the non U.S. portion of the world portfolio is 17.1%, and the correlation between the U.S. and non U.S. market portfolios is .47. Suppose you invest 40% of your money in the U.S. stock market and the other 60% in the non U.S. portfolio. What is the standard deviation of your portfolio?

Question

Quizplus · Accepted Answer

( (18.2)²(.40)² + (17.1)²(.60)² + 2(.47)(18.2)(.40)(17.1)(.60) )^½ = 15.1%

Assume the Standard Deviation of the U