题目
Assume the following information for stocks A and B.*Standard deviation of returns on Stock A = 40%*Standard deviation of returns on Stock B = 50%*Expected return on Stock A = 18%*Expected return on Stock B = 23%*Correlation between returns of Stock A and Stock B = 0.10The expected return and standard deviation of an equally weighted portfolio of stocks A and B are closest to:
选项
A.Expected return 20.5%；Standard deviation 33.54%
B.Expected return 20.5%； Standard deviation 11.22%
C.Expected return 33.5%；Standard deviation 11.22%
D.Expected return 33.5%；Standard deviation 33.54%
答案
A
解析
计算过程如下：「huixue_img/importSubject/1564170577063841792.jpeg」