medium · Quantitative Finance
A portfolio consists of two assets, X and Y, with equal weights (w_x = w_y = 0.5). The individual variances are σ_x^2 = 0.04 and σ_y^2 = 0.09, and the correlation ρ_xy = 0.2.
What is the total variance of this portfolio?
- 0.0385
- 0.1300
- 0.0325
- 0.0650
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