PRMIA Exam 8007 Topic 1 Question 1 Discussion

Actual exam question for PRMIA's Mathematical Foundations of Risk Measurement ? 2015 Edition exam

Question #: 1
Topic #: 1

[All Mathematical Foundations of Risk Measurement ? 2015 Edition Questions]

Suppose 60% of capital is invested in asset 1, with volatility 40% and the rest is invested in asset 2, with volatility 30%. If the two asset returns have a correlation of -0.5, what is the volatility of the portfolio?

A36%

B36.33%

C26.33%

D20.78%

Show Suggested Answer

Suggested Answer: D

by Goldie at May 04, 2022, 09:21 AM

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