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The standard deviation of stock A is .60, while the standard deviation of stock B is .80. If the correlation coefficient for A and B

The standard deviation of stock A is .60, while the standard deviation of stock B is .80. If the correlation coefficient for A and B is -1 < A,B < 1, then a portfolio that consists of stock A and stock B MUST have a variance _________. Assume no short selling allowed.

A. Greater than 0.6

B. Less than 0.8

C. Greater than 0.8

D. Less than 0.64

E. Not enough information

ANS: D

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