(Investment) Mr. Ingham has invested money in three

Chapter , Problem 16

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(Investment) Mr. Ingham has invested money in three assets; 18% in the first asset, 40% in the second one, and 42% in the third one. Let r1, r2, and r3 be the annual rate of returns for these three investments, respectively. For 1 i, j 3, Cov(ri, rj ) is the ith element in the j th row of the following table. 4 Note that Var(ri) = Cov(ri, ri).5 r1 r2 r3 r1 0.064 0.03 0.015 r2 0.03 0.0144 0.021 r3 0.015 0.021 0.01 Find the standard deviation of the annual rate of return for Mr. Inghams total investment.

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