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What is the standard deviation of portfolio

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The Bank of Tinytown has three loans that have the following characteristics. If the covariance between A and C is approximately 0.100 and the covariance between Loan B and Loan C is approximately 0.065, what is the standard deviation of this portfolio?

 

Loan Size ($ million)

Return (%)

Variance (%)

Loan A

$ 500.0

11.0

10.6

Loan B

$ 1,600.0

7.50

5.0

Loan C

$ 800.0

12.0

9.5

Reference no: EM133109868

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