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Security A has an expected rate of return of 6%, a standard deviation of returns of 30%, a correlation coefficient with the market of 20.25,

Security A has an expected rate of return of 6%, a standard deviation of returns of 30%, a correlation coefficient with the market of 20.25, and a beta coefficient of 20.5. Security B has an expected return of 11%, a standard deviation of returns of 10%, a correlation with the market of 0.75, and a beta coefficient of 0.5. Which security is more risky? Why?

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