Consider the data provided in the table below for a portfolio of assets A and B. The portfolio weights and variances are given in the table. The variances are expressed in decimal form. For example, if the standard deviation is 50%, then the variance is 0.52 = 0.25. The correlation of returns of the two assets is negative −0.39. What is the standard deviation of the portfolio?
Asset A Asset B
Portfolio Weights 0.16 0.84
Variances 0.3364 0.0961
Standard Deviation 0.58 0.31
