Question: Stock A B C Standard Deviation 22% 18% 16% Expected Return 12% 7% 5% The correlations among these three securities are: Stock A B C

Stock

A

B

C

Standard Deviation

22%

18%

16%

Expected Return

12%

7%

5%

The correlations among these three securities are:

Stock

A

B

C

A

1.00

0.75

0.50

B

1.00

0.25

C

1.00

You and your client also note that the risk free rate is 2%.

Please calculate the expected return and standard deviation of the three potential portfolios?

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