An investor holds a portfolio that comprises of 20% stock A, 30% stock B and 50% stock C.?

Question

The standard deviations of returns on Stocks A, B and C are 22%, 15% and 10%, respectively, and the correlation between returns on each pair of securities is 0.6. Prepare a variance-covariance matrix for these three securities and use the matrix to calculate the variance and standard deviation of returns for the portfolio.

Answer 1

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