σ2port = w2u.s.σ2u.s. + w2eσ2e + 2wu.s.weσu.s.σe ρu.s.,e
σ2port = (0.7)2(0.23)2 + (0.3)2(0.37)2 + (2)(0.7)(0.3)(0.23)(0.37)(0.6)
σ2port = 0.0596872
σ= √σ2port = √0.0596872 = 0.2443096 = 24.431%
Expect return = wu.s.E(Ru.s.) + weE(Re)
= (0.7)(0.10) + (0.3)(0.12) = 10.6%
