Calculate the standard deviation of the portfolio

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Reference no: EM131344074

Calculation of variance for Delta, Caps and BAT and calculation of variance of portfolio and standard deviation of portfolio

You are given the following variance-covariance matrix of counters Delta, Caps and BAT. Weight of Delta = 0.40, weight of Caps = 0.25 and weight of BAT = 0.35.

	Delta	Caps	BAT
Delta	148	180	140
Caps	154	120	160
BAT	170	130	125

(a) Calculate be variance of Delta, Caps and BAT.

(b) Calculate the variance of portfolio using the following formulae:
σ²_Ρ = ΣΣX_i, X_j, σ_i,j

(X stands for weight)

Reference no: EM131344074

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