Homework Answers
Portfolio Variance = [wMSFT2* ơMSFT2] + [wALK2* ơALK2] + [wK2* ơK2] + [2 * ρMSFT,ALK * wMSFT * wALK * ơMSFT * ơALK] + [2 * ρALK,K * wALK * wK * ơALK * ơK] + [2 * ρK,MSFT * wK * wMSFT * ơK * ơMSFT]
= [(1/3)2 * (32%)2] + [(1/3)2 * (36%)2] + [(1/3)2 * (19%)2] + [2 * 0.18 * (1/3) * (1/3) * 32% * 36%] + [2 * 0.15 * (1/3) * (1/3) * 36% * 19%] + [2 * 0.04 * (1/3) * (1/3) * 19% * 32%]
= 113.78%2 + 144%2 + 40.11%2 + 46.08%2 + 22.8%2 + 5.40%2 = 372.17%2
Volatility of the Portfolio = [Portfolio Variance]1/2 = [372.17%2]1/2 = 19.29%
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