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SGW Probability ZPH Probability Return Return State of the economy Recession Recovery Expansion Boom 0.1 0.4 -6% 2% 8% 14% -8% 3% 9% 16% 0.1

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SGW Probability ZPH Probability Return Return State of the economy Recession Recovery Expansion Boom 0.1 0.4 -6% 2% 8% 14% -8% 3% 9% 16% 0.1 0.4 0.3 0.2 0.3 0.2 Calculate the standard deviation of the portfolio referenced in questions 14-16. Assume that the correlation coefficient between SGW and ZPH returns is 0.3. A) 5.53% B 3.46% C) 8.46% D) 10.39% E) None of the above

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