Which of the statements about loan portfolio are false

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Problem 1: Which of the following statements about loan portfolio are False?

Select one or more:

a. The expected portfolio return is a weighted average of the expected returns of the individual assets in the portfolio.

b. The variance of the portfolio returns is a weighted average of the variances of the returns of the individual assets in the portfolio.

c. The standard deviation of the portfolio returns is a weighted average of the standard deviations of the returns of the individual assets in the portfolio.

d. Portfolio risk can be reduced through diversification only if the returns of the loans in the portfolio are negatively correlated.

Reference no: EM132949760

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