The expected return and standard deviation of a portfolio that is 70 percent invested in 3 Doors, Inc., and 30 percent invested in Down Co. are the following:

3 Doors, Inc. Down Co.

Expected return, E(R) 12 % 12 %

Standard deviation, 55 38

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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