Finance School of Management Mean and Variance of Portfolio return p=E(n)=∑BG)=2万 02=2∑vw1P0 ri: the expected value of r the standard deviation of r Pii: the correlation between r; and r uesTc 1919 Finance School of Management Mean and Variance of Portfolio Return = =  =  = i i i n i p p i i r E r w E r w r 1 ( ) ( ) =   i j  p wi wj  i j i  j 2 – : the expected value of ri – : the standard deviation of ri – : the correlation between ri and rj  i  iji r