Problem 11-13 More Portfolio Variance (LO4, CFA3) The expected return and standard deviation of a portfolio that is 40 percent invested in 3 Doors, Inc., and 60 percent invested in Down Co are the following: Expected return, E(R) Standard deviation, o 3 Doors, Inc. Down Co. 154 149 58 32 What is the standard deviation if the correlation is +1? 0? -1? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places.) Standard Deviation Correlation +1 % Correlation 0 % Correlation-1 %