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An investor considers two portfolios: 1 ) Portfolio A with a return of 1 3 . 7 % and a standard deviation of 8 %

An investor considers two portfolios: 1) Portfolio A with a return of 13.7% and a standard deviation of 8% and 2) Portfolio B with a return of 7% and a standard deviation of 3%. Assuming the correlation between A and B is 0.5 and he invests 60% in A and 40% in B, what range of returns should this portfolio produce 95% of the time?

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