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Suppose you have the following data on two risky assets: E[R1] = .17 1 = .25 E[R2] = .10 2 = .12 You plan to

Suppose you have the following data on two risky assets: E[R1] = .17 1 = .25 E[R2] = .10 2 = .12

You plan to put 60% of your wealth in asset 1 and 40% of your wealth in asset 2. Calculate the mean and the standard deviation of the resulting portfolio for values of the correlation equal to -1, 0, 0.2, 0.5 and 1. What is the maximum value of the standard deviation of the portfolio, and why?

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