Expected return and standard deviation of your portfolio

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Reference no: EM131520850

You have a three-stock portfolio. Stock A has an expected return of 11 percent and a standard deviation of 32 percent, Stock B has an expected return of 15 percent and a standard deviation of 50 percent, and Stock C has an expected return of 14 percent and a standard deviation of 32 percent. The correlation between Stocks A and B is .30, between Stocks A and C is .20, and between Stocks B and C is .05. Your portfolio consists of 30 percent Stock A, 20 percent Stock B, and 50 percent Stock C. Calculate the expected return and standard deviation of your portfolio. The formula for calculating the variance of a three-stock portfolio is: (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places. Omit the "%" sign in your response.)

σp2 = xA2 σA2 + xB2 σB2 + xC2 σC2+ 2xAxBσAσBCorr(RA,RB) + 2xAxCσAσCCorr(RA,RC) + 2xBxCσBσCCorr(RB,RC)

Expected return %

Standard deviation %

Reference no: EM131520850

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