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

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 percent,8 percent,and 16 percent,respectively.The standard deviation is 15 percent for Treachery,20 percent for Sleazy,and 25 percent 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 percent of the portfolio is in Treachery and 35 percent is in Sleazy?

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