medium · FRM Part 1 Foundations of Risk Management
A portfolio manager wants to add a new asset to a portfolio. The portfolio currently has a volatility of 15%. The new asset has a volatility of 25%.
If the correlation between the portfolio and the new asset is 0.0, and the manager allocates 20% of the funds to the new asset (and 80% to the existing portfolio), what is the new portfolio volatility?
- 15.0%
- 17.0%
- 20.0%
- 13.0%
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