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Calculate the market portfolio's standard deviation

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The market portfolio is assumed to be composed of four securities. Their covariances with the market and their proportions follow:

Security Covariance with Market Proportion

A 242 0.2
B 360 0.3
C 155 0.2
D 210 0.3

Given these data, calculate the market portfolio's standard deviation.

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The solution provides adequate narrative to understand the process of calculating the answer.

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The standard deviation of the market portfolio can be shown to be a function of the covariances with it of each of the securities that make up the market portfolio. Therefore the ...

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