An investor holds a portfolio that comprises of 20% stock A, 30% stock B and 50% stock C. The standard deviat

An investor holds a portfolio that comprises of 20% stock A, 30% stock B and 50% stock C. The standard deviations of returns on Stocks A, B and C are 22%, 15% and 10%, respectively, and the correlation between returns on each pair of securities is 0.6. Prepare a variance-covariance matrix for these three securities and use the matrix to calculate the variance and standard deviation of returns for the portfolio?

y = (x'x)-1x'y + u
so you have three equations there.
since correlation is given = .6 i.e E(uu'), and you know the return, therefore you can calculate uu' and hence solve the three equation using cramer's rule...
sorry I cannot type in the matrix's here

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