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Expected return and standard deviation

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Reference no: EM131688161

Consider an investment universe consisting of three assets with the following characteristics:

E(r1)=12%

E(r2) = 17%

E(r3) = 7%

σ1 =25%

σ2 = 30%

σ3 = 20%

ρ1,2 =0.5

ρ1,3 =0.25

ρ2,3 = 0.35

What is the expected return and standard deviation of an equally weighted portfolio investing in all three assets?

Reference no: EM131688161

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