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Consider the following information about GB&T and ABC Stock Scenario Probability GB&T Return ABC Return Poor 20% -10% 2% Not Bad 30% 0% 8% Normal

Consider the following information about GB&T and ABC Stock

Scenario Probability GB&T Return ABC Return
Poor 20% -10% 2%
Not Bad 30% 0% 8%
Normal 30% 8% 5%
Great 20% 25% 12%

What is the standard deviation of the returns for a portfolio of 35% in GB&T and the rest in ABC?

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