A Portfolio Consists of Three Securities: Treachery (T), Sleazy (S)

Multiple Choice

A portfolio consists of three securities: Treachery (T) , Sleazy (S) , and Felony (F) .The expected returns for Treachery, Sleazy, and Felony are 10.0%, 8.0%, and 16.0%, respectively.The standard deviation is 15.0% for Treachery, 20.0% for Sleazy, and 25.0% for Felony.The covariance of the returns on the three securities is: COVTS = 0.0144, COVTF = 0.0084, and COVSF = 0.03.What is the portfolio standard deviation if 20.0% of the portfolio is in Treachery and 35.0% is in Sleazy?

A) 17.73%
B) 13.91%
C) 3.14%
D) 1.93%