The expected return and standard deviation of a portfolio of risky assets is equal to the weighted average of the individual asset's expected returns and standard deviation.

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Quizplus · Accepted Answer

The expected return of a portfolio of risky assets is indeed equal to the weighted average of the individual assets' expected returns. However, the portfolio's standard deviation is not simply the weighted average of the individual assets' standard deviations due to the diversification effect, which also considers the correlation between the returns of the assets in the portfolio.

The Expected Return and Standard Deviation of a Portfolio of Risky