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Two securities have the following characteristics: Security A Security B Expected return 25% 15% Standard deviation 35% 47% Proportion 35% 65% Beta 0.90 0.25 Furthermore,

Two securities have the following characteristics:

Security A Security B

Expected return 25% 15%

Standard deviation 35% 47%

Proportion 35% 65%

Beta 0.90 0.25

Furthermore, the correlation of returns between the securities is 0.7.

Determine the risk (standard deviation) of the portfolio consisting of equal proportions of Securities A and B.

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