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Security A has a standard deviation of 10%. Security B has a standard deviation of 20%. The correlation of returns is 0.8. a. What is

Security A has a standard deviation of 10%. Security B has a standard deviation of 20%. The correlation of returns is 0.8.

a. What is the covariance between the two securities ?

b. What is the standard deviation of a two-security portfolio invested 40% in security A and 60% in security B?

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