Computing the portfolio standard deviation

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Problem: You invest in two ETFs. One ETF (ETF A) mimics the Australian market index. The second ETF (ETF B) mimics the US S&P 500. You are interested in the portfolio standard deviation. If you have the following information, what is the standard deviation. 

  • ETF A: Standard deviation is 8%
  • ETF B: Standard deviation is 26%
  • Correlation is 0.7

If your portfolio is 60% of asset A and 40% of asset B, what is the portfolio standard deviation (to two decimal places)

Reference no: EM132438381

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