Question: Problem 11-13 More Portfolio Variance (LO4, CFA3) The expected return and standard deviation of a portfolio that is 60 percent invested in 3 Doors, Inc.,

Problem 11-13 More Portfolio Variance (LO4, CFA3) The expected return and

Problem 11-13 More Portfolio Variance (LO4, CFA3) The expected return and standard deviation of a portfolio that is 60 percent invested in 3 Doors, Inc., and 40 percent invested in Down Co. are the following: 3 Doors, Inc. Down Co. Expected return, E(R) Standard deviation, 11% 54 12% 40 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

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