THE N-SECURITY CASE: EXAMPLE Consider the portfolio of three securities. Proportion in Portfolio Standard Deviation of Return Security A 0.25 17% Security B 0.35 12% Security C 0.40 9% The correlation coefficients are shown in the correlation matrix below. Security A Security B Security C Security A 1.0 Security B 0.683 1.0 Security C -0.271 0.425 1.0 Find the standard deviation of the portfolio