24. Consider two securities, A and B, with expected returns of 15% and 20%, respectively, and standard

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24. Consider two securities, A and B, with expected returns of 15% and 20%, respectively, and standard deviations of 30% and 40%, respectively. Calculate the standard deviation of a portfolio weighted equally between the two securities if their correlation is:

a.0.9 b.O.O

c. -0.9

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Investments

ISBN: 9788120321014

6th Edition

Authors: William F. Sharpe, Gordon J. Alexander, Jeffery V. Bailey

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