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Stock ABC has an expected return of 15 % and a standard deviation of 41 %. Stock XYZ has an expected return of 6 %

Stock ABC has an expected return of 15 % and a standard deviation of 41 %. Stock XYZ has an expected return of 6 % and a standard deviation of 10 %. The correlation between the assets is .09. What is standard deviation of the minimum variance portfolio?

a.

11.44%

b.

17.66%

c.

17.04%

d.

17.40%

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