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Question 9 A portfolio is composed of two shares. The following parameters associated with the returns of the two shares are given. Share 1 2

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Question 9 A portfolio is composed of two shares. The following parameters associated with the returns of the two shares are given. Share 1 2 Proportion of portfolio 45% 55% Mean 0.10 0.20 Standard deviation 0.02 0.15 If the correlation coefficient of the two shares is 0.2, the variance of the return of the portfolio is: a. 0.01 O b. 0.05 O c. 0.15 C d. 0.24 O e. None of the above

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