Three Rivers Investment Company desires to construct a portfolio with a 20 percent expected return. The portfolio

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Three Rivers Investment Company desires to construct a portfolio with a 20 percent expected return. The portfolio is to consist of some combination of Security X and Security Y, which have the following expected returns, standard deviations of returns, and betas:

Security X Security Y Expected return 15% 26%

Standard deviation 10% 20%

Beta 0.94 1.33

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