If a portfolio consists of two investments which have perfectly correlated returns,the portfolio standard deviation is:
A) the sum of the products of the squared portfolio weights and the variances of the investment returns.
B) the absolute value of the portfolio-weighted average of the standard deviations of the two investments.
C) is the difference between the portfolio-weighted average of the standard deviations of the two investments.
D) twice the product of the two portfolio weights and the covariance between the investment returns.
Correct Answer:
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