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The following is a variance/covariance matrix for a three share portfolio. Share A Share B Share C Total 2.25 Share A Share B Share C

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The following is a variance/covariance matrix for a three share portfolio. Share A Share B Share C Total 2.25 Share A Share B Share C Total Given the following information (hint: use values as displayed for consistency with the table's units): XA = 0.50 o A = 30 COVA, B = 40 Xp = 0.30 og = 25 B COVA.C=25 Xc = 0.20 oc = 70 PB.c = Correc = -0.85 What is the standard deviation of this three share portfolio? 29.0 7.69 25.33 5.03

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