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Suppose assets A and B have expected returns r_A, and r_B, standard deviations sd_A and sd_B, and are positively correlated. What is the standard deviation

Suppose assets A and B have expected returns r_A, and r_B, standard deviations sd_A and sd_B, and are positively correlated. What is the standard deviation of a portfolio which contains both A and B?

A. sd_A + sd_B

B. Greater than sd_A + sd_B

C. Less than sd_A + sd_B

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