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A portfolio consists of three securities: Treachery (T), Sleazy (S), and Felony (F). The expected ...

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A portfolio consists of three securities: Treachery (T), Sleazy (S), and Felony (F). The expected ...

A portfolio consists of three securities: Treachery (T), Sleazy (S), and Felony (F). The expected returns for Treachery, Sleazy, and Felony are 10.0%, 8.0%, and 16.0%, respectively. The standard deviation is 15.0% for Treachery, 20.0% for Sleazy, and 25.0% for Felony. The covariance of the returns on the three securities is: COVTS = 0.0144, COVTF = 0.0084, and COVSF = 0.03. What is the portfolio standard deviation if 20.0% of the portfolio is in Treachery and 35.0% is in Sleazy?

▸ 17.73%

▸ 13.91%

▸ 1.93%

▸ 3.14%

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Corporate Finance

Edition: 5^th

Author: Booth

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