Question: 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) 11 % 12 %
Standard deviation, s 54 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. Omit the "%" sign in your response.)
Correlation +1 %
Correlation 0 %
Correlation -1 %