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Calculate standard deviation of portfolio returns

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Question - A portfolio consists of 3 securities have the following characteristics in terms of standard deviation, proportion of investment and correlation coefficient.

Security

Standard deviation

Correlation Coefficient

Proportion of investment

A

10

PAB = 0.3

50%

B

15

PAC = 0.5

30%

C

20

PBC = 0.6

20%

Required - Calculate standard deviation of portfolio returns?

Reference no: EM132610903

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