There are 2 assets. Asset 1: Expected return 7.5%, standard deviation 9% Asset 2: Expected return 11%, standard deviation 12%. You are not sure about the correlation between 2 assets. You hold 30% of your portfolio in asset 1 and 70% in asset 2.
What is the highest possible variance of your portfolio?
Hint 1: Think how the portfolio variance depends on the correlation between 2 assets.
Hint 2: Think which values the correlation between Asset 1 and Asset 2 can get.