Question

Create a portfolio using the three stocks and information below:

	Expected Return	Standard Deviation	Weight in Portfolio
Stock A	6.00%	21.00%	24.00%
Stock B	33.00%	39.00%	33.00%
Stock C	18.00%	35.00%	43.00%
----------------------	----------------------	----------------------	----------------------
Correlation (A,B)	0.0700	----------------------	----------------------
Correlation (A,C)	0.5700	----------------------	----------------------
Correlation (B,C)	0.5600	----------------------	----------------------

(Do not round intermediate calculations. Record your answers in decimal form and round your answers to 4 decimal places. Ex. x.xxxx)

What is the variance of A?

0.0441

What is the variance of B?

0.1521

What is the variance of C?

0.1225

What is the Correlation (A,A)?

1

What is the Correlation (B,B)?

1

What is the Correlation (C,C)?

1

What is the Covariance (A,A)?

0.0441

What is the Covariance (A,B)?

0.0057

What is the Covariance (A,C)?

0.04180

What is the Covariance (B,A)?

0.0057

What is the Covariance (B,B)?

0.1521

What is the Covariance (B,C)?

0.0764

What is the Covariance (C,A)?

0.04180

What is the Covariance (C,B)?

0.0764

What is the Covariance (C,C)?

0.1225

What is the expected return on the portfolio above?

0.2007

What is the variance on the portfolio above?

What is the standard deviation on the portfolio above?

*answer the last two questions

Answer 1