Problem 11-13

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) 16 % 11 %

Standard deviation, 49 38

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. Omit the "%" sign in your response.)

Correlation +1 %_______________

Correlation 0 %_________________

Correlation 1 %___________________