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Total 20 marks A portfolio is made up of three assets. Asset A has the...

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Accounting

imageimage Total 20 marks A portfolio is made up of three assets. Asset A has the portfolio weight of 40% and a variance of 0.0256 , asset B has the portfolio weight of 20% and a variance of 0.0625 , and asset C has a variance of 0.04 . The correlation coefficient matrix between three assets is summarized in the following table. The expected return of asset A,B and C is 10%,12% and 15% respectively. Calculate the portfolio standard deviation. Show your calculations. Correct your answers to 4 decimal places. [5 marks]

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