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1)A portfolio consists of 3 securities have the following characteristics in terms of standard deviation, proportion of investment and correlation coefficient. Security Standard deviation Correlation

1)A portfolio consists of 3 securities have the following characteristics in terms of standard deviation, proportion of investment and correlation coefficient.

Security Standard deviation Correlation Coefficient Proportion of investment

A 10 P_AB=0.3 50%

B 15 P_AC=0.5 30%

C 20 P_{BC =}0.6 20%

Required: Calculate standard deviation of portfolio returns

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