4.136 Larger portfolios.

CASE 4.3 Portfolios often contain more than two investments. The rules for means and variances continue to apply, though the arithmetic gets messier. A portfolio containing proportions of Biotechnology Fund, of Information Services Fund, and of Defense and Aerospace Fund has return . Because , , and are the proportions invested in the three funds, . The mean and variance of the portfolio return are

Having seen the advantages of diversification, Michael decides to invest his funds 20% in biotechnology, 35% in information services, and 45% in defense and aerospace. What are the (historical) mean and standard deviation of the monthly returns for this portfolio?