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XX Portfolio risk The portfolio is constructed with 40% invested in A, 60% in B. The correlation coefficient between A and B is -0.6. What

XX Portfolio risk

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The portfolio is constructed with 40% invested in A, 60% in B. The correlation coefficient between A and B is -0.6. What is portfolio Beta? What is the standard deviation of the portfolio?

If the expect return for this portfolio is 14% and risk-free rate is 4%, what is the Sharpe ratio?

Standard deviation (%) Beta Security A 30 0.52 Security Be 20 1.52

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