OK, they’ve given us a nice table with correlations, obviously they want us to use it. When we apply the formula for standard deviation for portfolio C, the figure is 13.89%. But we can use all of the provided information if no specific instructions are given, right? If we decide to use Sharpe ratio:
E(Rc) = 0.60*14 + 0.05*3.5 + 0.35*9 = 11.725
Sharpe ratio = [E(Rc) - RF] / st.dev.
=> st.dev. = (11.725 - 1.5) / 0.75 = 13.63
Where am I wrong?