E:6 /p7/pg 285 (Three securities portfolio risk and return calculations) E (1,A) 16% SD/6 (A) = 12% E (r,B) 12% SD/6 (B) = 15% E (r,C) 10% SD/6 (C) = 20% An equal weight distribution of portfolio A, B and C determine - Cor (A, B) = -0.30 Cor (B, C) = 0.50 Cor (A, C) = 0.70 a) Expected portfolio return b) Standard deviation /risk of portfolio