Problem:
You own a portfolio that has 65% invested in asset A, and 35% invested in asset B. Asset A's standard deviation is 15% and asset B's standard deviation is 11%. The correlation coefficient between the two assets is -0.32. The expected return on the portfolio is 11%.
Required:
Question: What is the portfolio standard deviation?
13.1%
11.2%
6.5%
9.3%
Note: Please explain comprehensively and give step by step solution.