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The expected return and standard deviation of a portfolio that is 60 percent invested in 3 Doors, Inc., and 40 percent invested in Down Co.

The expected return and standard deviation of a portfolio that is 60 percent invested in 3 Doors, Inc., and 40 percent invested in Down Co. are the following:

3 Doors, Inc. Down Co.
Expected return, E(R) 16 % 14 %
Standard deviation, 59 30

What is the standard deviation if the correlation is +1? 0? 1? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Omit the "%" sign in your response.)

Correlation +1 %
Correlation 0 %
Correlation 1 %

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