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An investor considers two portfolios: 1 ) Portfolio A with a return of and a standard deviation of and 2 ) Portfolio B with a

An investor considers two portfolios: 1) Portfolio A with a return of and a standard deviation of and 2) Portfolio B with a return of and a standard deviation of . Assuming the correlation between and is +0.2 and he invests in and in B, what is the most likely range of the portfolio standard deviation?

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