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A portfolio manager is considering the benefits of increasing her diversification by investing overseas. She can purchase shares in individual country funds with the following

A portfolio manager is considering the benefits of increasing her diversification by investing overseas. She can purchase shares in individual country funds with the following characteristics. U.S. U.K. (%) (%) Expected Return 15 12 Standard deviation of return 10 9 Correlation with United States 1.0 0.33 What are the expected returns and standard deviation of return of a portfolio with 25% invested in United Kingdom and 75% in the United States?

please explain that why we squure the SD?

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