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A portfolio manager creates the following portfolio: Security Expected Annual Return (%) Expected Standard Deviation (%) 1 16 20 2 12 20 If the correlation

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A portfolio manager creates the following portfolio: Security Expected Annual Return (%) Expected Standard Deviation (%) 1 16 20 2 12 20 If the correlation of returns between the two securities is -0.15, the expected standard deviation of an equal- weighted portfolio is (write the answer as a percent with 3 decimal places)

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