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The standard deviation of return on stock A is 15% and the standard deviation on stock B is 15%. The correlation coefficient between the returns

The standard deviation of return on stock A is 15% and the standard deviation on stock B is 15%. The correlation coefficient between the returns on stock A and B is -.25%. The rate of return for stocks A and B is 15% and 15% respectively. What is the standard deviation of return on the minimum-variance portfolio?

a) 11.73%

b) 12.00%

c) 8.80%

d) 9.35%

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