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Consider two investments, Apples and Oranges, with the following characteristics: Investment Expected return Standard deviation Weight in the portfolio Apples 5% 15% 40% Oranges 20%

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Consider two investments, Apples and Oranges, with the following characteristics: Investment Expected return Standard deviation Weight in the portfolio Apples 5% 15% 40% Oranges 20% 20% 60% The correlation between the return to Apples and Oranges is -0.2. The standard deviation of the portfolio comprised of both investments falls into which of the following ranges? portfolio Standard deviation

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