You are given a two-asset portfolio with a fixed correlation coefficient. If the weights of the two assets are varied the expected portfolio return would be ____ and the expected portfolio standard deviation would be ____.
A) nonlinear, elliptical
B) nonlinear, circular
C) linear, elliptical
D) linear, circular
E) circular, elliptical

Question

Quizplus · Accepted Answer

The expected portfolio return would be linearly related to the weights of the two assets. The expected portfolio standard deviation would be elliptical, as it would vary depending on the correlation coefficient and the standard deviations of the two assets.

You Are Given a Two-Asset Portfolio with a Fixed Correlation