MediumPortfolio & RiskAcceptance 44%

Two-Asset Portfolio Volatility

Goldman SachsAQR Capital

Two uncorrelated assets each have 20% volatility. You hold them in equal weight. What is the portfolio volatility, as a percent? (Round to 2 decimals.)

Approach

Variances add (no covariance term when uncorrelated).

Equal weights are 0.5 each.

Answer

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