8006 Exam Dumps | For a pair of correlated assets, the achievable portfolio standard deviation will be the lowest when

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PRMIA.8006.v2021-04-25.q101
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Question 73/101

For a pair of correlated assets, the achievable portfolio standard deviation will be the lowest when the correlation is:

A. = 1

B. = 0.33

C. = -0.33

D. = 0

Correct Answer: C

Explanation
The lowest achievable standard deviation will be lowest when the assets are perfectly negatively correlated, ie when correlation = -1. In the case of the above choices, the lowest correlation is -0.33, which is the correct choice.

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