Problem 11-20 Portfolio Variance (LO2, CFA3) You have a three-stock portfolio. Stock A has an expected return of 17 percent and a standard deviation of 42 percent, Stock B has an expected return of 21 percent and a standard deviation of 47 percent, and Stock C has an expected return of 16 percent and a standard deviation of 47 percent. The correlation between Stocks A and B is.30, between Stocks A and C is.20, and between Stocks B and C is .05. Your portfolio consists of 31 percent Stock A, 20 percent Stock B, and 49 percent Stock C. Calculate the expected return and standard deviation of your portfolio. The formula for calculating the variance of a three-stock portfolio is: op? = xaOA? + xB og+ xc? oc++ 2XAXBOAOBCorr(RA, RB) + 2xAXconocCorr(RA, RC) + 2XBXCOBOCCorr(RB, RC) (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places.) 17.20% Expected return Standard deviation %