medium · FRM Part 1 Valuation and Risk Models
A 2-asset portfolio has weights w₁ = 0.4 and w₂ = 0.6. The assets have standard deviations σ₁ = 15% and σ₂ = 25%, with a correlation ρ = -0.5.
What is the total portfolio volatility?
- 15.00%
- 16.12%
- 13.56%
- 21.00%
Sign up free to see the explanation and track your rank →
More FRM Part 1 Valuation and Risk Models practice
- If a loan has a Probability of Default (PD) of 2.0%, an Exposure at Default (EAD) of $1,00
- What is the Expected Loss (EL)?
- If market yields rise by 150 basis points (0.015), what is the estimated new price of the
- A stock trades at S_0 = $100. A European call struck at K = $100 expires in 1 year. If the
- Using a simple 'credit-triangle' approximation, what is the fair annual CDS spread in basi
- An investor holds a $10 million portfolio of two assets. Asset A has a weight of 60% and a
- If the manager scales the VaR to a 10-day horizon using the square-root-of-time rule, what
- A call option has a delta of 0.60 and a gamma of 0.05. If the underlying stock price incre