Each column reports statistics for a particular

investment.

For example, the variance of Stock A is $0\mathrm{.}0200,$ the expected return of the market is $0\mathrm{.}16,$ and the

covariance of Stock C with the Market is $0\mathrm{.}0013$

STOCK A

Expected Return: $0\mathrm{.}19$

Variance:$0\mathrm{.}0200$

Covariance with the Market:$0\mathrm{.}0070$

STOCK B

Expected Return:$0\mathrm{.}15$

Variance:$0\mathrm{.}0196$

Covariance with the Market:$0\mathrm{.}0045$

STOCK C

Expected Return:$0\mathrm{.}09$

Variance:$0\mathrm{.}0025$

Covariance with the Market:$0\mathrm{.}0013$

TBILLS

Expected Return:$0\mathrm{.}07$

Variance:$0\mathrm{.}000$

Covariance with the Market:$0\mathrm{.}000$

MARKET

Expected Return:$0\mathrm{.}16$

Variance:$0\mathrm{.}0064$

What comes closest to the standard deviation of a portfolio half invested in TBills and half invested in the

market?

$0\mathrm{.}00$

$0\mathrm{.}09$

$0\mathrm{.}07$

$0\mathrm{.}16$

$0\mathrm{.}04$