Two securities have the following characteristics: Security A Security B Expected return 32% 17% Standard deviation 28% 34% Proportion (Weight) 55% 45% Beta 1.2 0.25 Correlation Coefficient 0.85 Determine the risk (standard deviation) of the portfolio with Securities A and B.

Essentials Of Investments
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Chapter1: Investments: Background And Issues
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Two securities have the following characteristics:                                

 

  Security A Security B 
Expected return  32% 17%
Standard deviation  28% 34%
Proportion (Weight) 55% 45%
Beta  1.2 0.25
Correlation Coefficient   0.85

Determine the risk (standard deviation) of the portfolio with Securities A and B. 

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