A portfolio consists of 3 securities, 1, 2, and 3. The proportions of these securities are w1 = 0.3, w2 = 0.5, and w3 = 0.2. The standard deviations of returns on these securities (in percentage terms) are: = 6, = 9, and = 10. The correlation coefficients among security returns are p12 = 0.4, p13 = 0.6, p23 = 0.7. What is the standard deviation of portfolio returns?
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