A portfolio consists of 4 securities, 1, 2, 3, and 4. The proportions of these securities are w1=0.2, w2=0.3, w3=0.4, and w4=0.1. The standard deviations of returns on these securities (in percentage terms) are σ1=4, σ2=8, σ3=20, and σ4=10. The correlation coefficients among security returns are: ρ12=0.3, ρ13=0.5, ρ14=0.2, ρ23=0.6, ρ24=0.8, and ρ34=0.4. Assume equi proportional investment.

What is the standard deviation of portfolio return?

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Standard deviation of a portfolio W1 01 W2 02W3 03 W4 04 2 W1 W2 01 02 ... View the full answer