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The standard deviation of Home Depot's returns is 42%, and the standard deviation of Lowe's is 36%. The correlation between the two stocks' returns is

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The standard deviation of Home Depot's returns is 42%, and the standard deviation of Lowe's is 36%. The correlation between the two stocks' returns is 0.68. What is the standard deviation of a portfolio of 40% in Home Depot and 60% in Lowe's? 42% 11% O 22% 0 35% 14%

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