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You have been provided the following data on the securities of three firms and the market: Security E[Ri] i iM i A 0.13 0.12 .75

You have been provided the following data on the securities of three firms and the market:

Security

E[Ri]

i

iM

i

A

0.13

0.12

.75

0.90

B

0.16

.275

0.40

1.10

C

0.25

0.24

0.75

1.8

Market

0.15

0.10

1

1

Risk-free asset

0.05

0

0

0

Suppose that you are currently holding a portfolio consisting of Firm B only. If you increase your portfolio weight on Firm B by 0.2 (or 20%) and borrow the needed money at the risk-free rate, what will be the new standard deviation of your portfolio?

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