3 Portfolio standard deviation and diversification (LO 3] The standard deviations of returns on assets A and B are 8 per cent and 12 per cent, respectively. A portfolio is constructed consisting of 40 per cent in Asset A and 60 per cent in Asset B. Calculate the portfolio standard deviation if the correlation of returns between the two assets is: a) 1 b) 0.4 co d) -1 Comment on your answers