11.2.8

You have a three-stock portfolio. Stock A has an expected return of 10 percent and a standard deviation of 40 percent, Stock B has an expected return of 14 percent and a standard deviation of 58 percent, and Stock C has an expected return of 17 percent and a standard deviation of 40 percent. The correlation between Stocks A and B is .30, between Stocks A and C is .20, and between Stocks B and C is .05. Your portfolio consists of 40 percent Stock A, 27 percent Stock B, and 33 percent Stock C. Calculate the expected return and standard deviation of your portfolio. The formula for calculating the variance of a three-stock portfolio is: (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places. Omit the "%" sign in your response.)

_p²= x_A² _A² + x_B² _B² + x_C² _C²+ 2x_Ax_BABCorr(R_A,R_B) + 2x_Ax_CACCorr(R_A,R_C) + 2x_Bx_CBCCorr(R_B,R_C)

Expected return	%
Standard deviation	%