What is the portfolio volatility

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Reference no: EM131182030

Suppose there are 3 risky assets A,B,C

Asset Expected Return Volatility

A 10% 0.2

B 20% 0.3

C 25% 0.4

The correlation between A and B is 0.2 and asset C is uncorrelated with both A and B. Suppose your desired level of rate of return is 20% and you want to fully invest your money. What is your mean-variance optimal portfolio, assuming that portfolio weights add to 1. There are no other restrictions. What is the portfolio volatility.

Reference no: EM131182030

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