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Consider the following information for Viakom and Qualkom:

Consider the following information for Viakom and Qualkom: 

StateProbabilityViakomQualkom
A0.310%20%
B0.4-10%15%
C0.320%-10%

E(Ri)5%9%

σi12.85%12.61%


Assume (correctly or incorrectly) that the correlation coefficient between Viakom and Qualkom is -0.3. The volatility of a portfolio that invests 25% in Viakom and 75% in Qualkom is closest to:

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Answer #1

C58 X ✓ for =(C56^2*C53+D56^2*D53+2*C56*056*055*C54*D54)^(1/2) A B 52 53 C Viakom 0.0165 12.85% -0.30 25% D Qualkom 0.0159 12

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