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Use the following variance/covariance matrix of a three-share portfolio for the following two questions: Share...

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Use the following variance/covariance matrix of a three-share portfolio for the following two questions: Share A Share B Share C Total Share A Share B 2.50 Share C Total Given the following information (hint: use only portfolio weights in decimals for consistency): = 40% 0A = 20 COVA, B = 30 XB = 25% oB = 40 COVA,C = 45 XC = 35% oc=45 PB,C = CorrB,C = -0.925 What is the standard deviation of this three-share portfolio? 6.77 3.59 4.79 5.13 Which of the following statements is FALSE? The market portfolio is an efficient portfolio. An efficient portfolio cannot be diversified further; that is, there is no way to reduce the risk of the portfolio without lowering its expected return. A key step to measuring systematic risk is finding a portfolio that contains only unsystematic risk. It is common practice to use the S&P/TSX Composite Index as a proxy for the market portfolio, under the assumption that it is large enough to be essentially fully diversified. None of the above

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