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STANDARD DEVIATION OF A TWO ASSET PORTFOLIO
This calculator is designed to determine the standard deviation of a two asset portfolio based on the correlation between the two assets as well as the weighting and standard deviation of each asset.
σ
Weight
Security A
Security B
Correlation between A & B
σ(p) =
Note:
1) The correlation between A & B must be between -1 and +1
2) The weight for Security B is automatically calculated based on the weight of Security A
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