Suppose you have the following information about the stocks of Pepsico (PEP), Qualcomm (QCOM) and Ross Stores (ROST): ρ E(r) σ PEP QCOM ROST PEP 11% 20% 1 −0.2 0.3 QCOM 15% 35% 1 −0.1 ROST 9% 15% 1 What are the expected return and standard deviation of a portfolio weighted as {20%, 40%, 40%}?