Question: Using the data in the following table, and the fact that the correlation of A and B is 0.40, calculate the volatility (standard deviation) of

Using the data in the following table, and the fact that the correlation of A and B is 0.40, calculate the volatility (standard deviation) of a portfolio that is 60% invested in stock A and 40% invested in stock B.

Realized Returns

Year

Stock A

Stock B

2008

14%

25%

2009

20%

27%

2010

4%

12%

2011

4%

6%

2012

1%

8%

2013

14%

35%

What is the standard deviation of the portfolio? (Round to two decimal places.)

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