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, σ 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 %___________________