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Given the following information, you are required to calculate the expected return and standard deviation of a portfolio comprising of 60% of security A and

Given the following information, you are required to calculate the expected return and standard deviation of a portfolio comprising of 60% of security A and 40% of security B assuming:

(i) rAB = 1

(ii) rAB = -1

(iii) rAB = 0

SECURITYEXPECTED RETURNSTANDARD DEVIATION

A18%9%

B25%14%

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