Standard deviation of a three asset portfolio
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Calculate the standard deviation of a three-asset portfolio with the following data:
Funds:............................S&P 500................Intermediate Treasury...................European
Weights..............................50%.................................35%.....................................15%
Mean...............................17.23%..............................8.24%.................................12.47%
Standard deviation...........14.04%.............................8.04%.................................12.13%
Correlation matrix:...........S&P 500...............Intermediate Treasury...................European
S&P 500..............................1.0..................................0.71.....................................0.47
Intermediate Treasury........0.71.................................1.0......................................0.64
European...........................0.47.................................0.64......................................1.0
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