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Consider the following covariance matrix for Securities J, K, and the Market: You wish to construct a portfolio with 30% in Security J and 70%

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Consider the following covariance matrix for Securities J, K, and the Market: You wish to construct a portfolio with 30% in Security J and 70% in Security K. Calculate a ratio of the beta of that portfolio divided by the standard deviation of that portfolio. 14.2 13.1 13.6 15.4 14.8

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