Assume a two-asset portfolio. Asset A has volatility of 20% and Asset B has volatility of 30%. The returns of the two assets have a correlation of 0.4. If each asset is weighted 50% (equally weighted portfolio), what is the portfolio volatility?
A
19.4%
B
20.1%
C
21.1%
D
25.9%这个怎么算的,课上没讲啊