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Al Safa holding is considering two securities, A and B with two different scenarios (black. and white), given the information below: Probability Return on Security

Al Safa holding is considering two securities, A and B with two different scenarios (black. and white), given the information below:

Probability

Return on Security A (%)

Return on Security B (%)

Black

0.6

3.0%

6.5%

White

0.4

12.0%

8.5%

Calculate the standard deviation of Al-Safa holding portfolio if the correlation coefficient =0.67

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