Risk11 / 32
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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