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CFA Level I Portfolio Risk and Return: Part I question

Portfolio Management / Portfolio Risk and Return: Part I

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Portfolio Risk and Return: Part I sample question

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Portfolio Management

Portfolio Risk and Return: Part I

Ingrid Sorensen holds 50% in Asset A (standard deviation 16%) and 50% in Asset B (standard deviation 24%), with a correlation of 0.20 between the assets. Relative to the portfolio standard deviation that would result if the correlation were +1.0, the reduction in portfolio standard deviation achieved at the actual correlation is closest to:

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