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The investor is presented with the two following stocks: Expected Return Standard Deviation Stock A 10% 30% Stock B 20% 60% Assume that the correlation

The investor is presented with the two following stocks:

Expected Return

Standard Deviation

Stock A

10%

30%

Stock B

20%

60%

Assume that the correlation coefficient between the stocks is one. What is the standard deviation of the return on the portfolio that invests 30% in stock A?

A.

45%

B.

51%

C.

36%

D.

35%

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