Consider an investment universe consisting of three assets with the following characteristics:
E(r1)=12%
E(r2) = 17%
E(r3) = 7%
σ1 =25%
σ2 = 30%
σ3 = 20%
ρ1,2 =0.5
ρ1,3 =0.25
ρ2,3 = 0.35
What is the expected return and standard deviation of an equally weighted portfolio investing in all three assets?