The firm Grady's Gifted Gym, Corp., holds a portfolio of stocks A, B, and C, with weights of: 0.31, 0.34, and 0.35, respectively, and standard deviations of: 10.6064, 10.3817, and 9.6414, and the covariance matrix for this portfolio is: 112.4947 0.4520 0.7075 0.4520 107.7793 0.1198 0.7075 0.1198 92.9560 The variance of this portfolio is the closest to: (Hint: use Excel MMULT function to calculate the portfolio variance):

Select one:

a.

10.61

b.

10.38

c.

34.93

d.

insufficient information to determine

e.

0.34

f.

3.40

g.

9.64