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Two perfectly positively correlated securities are combined into a portfolio. One security is expected to return 10% with a volatility of 20% and the other

Two perfectly positively correlated securities are combined into a portfolio. One security is expected to return 10% with a volatility of 20% and the other is expected to return 15% with a volatility of 25%. If the portfolio is required to have a (target) volatility of 30%, what is its expected return?

a.20%

b.25%

c.30%

d.22.5%

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