A portfolio is 55% invested in an S&P 500 index fund, 25% invested in a U.S. long-term corporate bond fund, and 20% invested in an Exchange Traded Funds (ETF). Suppose we have estimated expected returns on the assets in the portfolio. Table 1 shows these weights and the expected return on the individual assets and Table 2 shows the variance covariance matrix:

b . Calculate the portfolio variance and standard deviation.

Table 1: Portfolio weights and Expected Returns Asset Class S&P 500 Index Corporate Long-Term Bond Exchange Traded Funds (ETFs Weight 0.55 0.25 0.20 Expected Return (% 25 10 15 Table 2: Portfolio Covariance Matrix S&P 500 IndexCorporate Long Term Exchange Traded Funds Bonds 500 50 180 40 S&P 500 Index Corporate Long-Terms Bonds Exchange Traded Funds (ETFs) 50 100 180 40 400 a. (2.0 pts) Calculate the expected return on the portfolio