A portfolio consists of 4 securities, 1, 2, 3, and 4. The proportions of these securities are: w1=0.2,

w2=0.3, w3=0.4, and w4=0.1. The standard deviations of returns on these securities (in

percentage terms) are : 1=4, 2=8, 3=20, and 4=10. The correlation coefficients among

security returns are: 12=0.3, 13=0.5, 14=0.2, 23=0.6, 24=0.8, and 34=0.4. Assume equi-

proportional investment.

What is the standard deviation of portfolio return?