"investment portfolio" exercise : standard deviation
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Questions 1:
Based on the following historical data, which is closest to the standard deviation for the two-asset portfolio shown in the table?
| Asset A | Asset B | Asset C | |
| Standard deviation | 4.7% | 7.7% | |
| Portfolio weight | 0.4 | 0.6 | |
| Correlation | 0.3 |
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A. 6.5%
B. 5.5%
C. 5.0%
Questions 2:
When considering a portfolio that is optimal for one investor, a second investor with a higher risk aversion would most likely:
A. expect a higher variance for the portfolio.
B. derive a lower utility from the portfolio.
C. have a lower return expectation for the portfolio.
Utility has two terms: the expected return and a negative term based on the portfolio risk weighted by risk aversion. For an identical portfolio, the investor with a higher risk aversion (A) would calculate a lower utility (U).
U=E(r)-½Aσ
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