You have a three-stock portfolio. Stock A has an expected return of 12% and a standard deviations of 41%. Stock B has an expected return of 16% and a standard deviation of 58%. Stock C has an expected return of 13% and a standard deviation of 48%. The correlation coefficient between the Stocks A and B is 0.3, between Stocks A and C is 0.2, and between Stocks B and C is 0.05. Your portfolio consists of 30% Stock A, 50% Stock B and 20% Stock C. What is the standard deviation of this portfolio?
A) 35.97%
B) 36.52%
C) 34.75%
D) 37.06%
E) 38.21%
Correct Answer:
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