In: Finance
You observe the stock returns on two publicly-traded commercial banks, Chase MadHattan (CMH) and Spitigroup (S). Their historical returns for the past three years are:
CMH: -30%, -45%, 15%;
S: -20%, -30%, 5%.
Consider a portfolio that consists of 40% of CMH and 60% of S. Calculate the standard deviation of this portfolio. Answer as a percentage with two decimal places, as in 1.23%.