Question: 14. A portfolio manager creates the following portfolio: Security Security Weight (%) Expected Standard Deviation (%) 1 30 20 2 70 12 If the covariance

14. A portfolio manager creates the following portfolio:

Security Security Weight (%)

Expected Standard Deviation

(%)

1 30 20 2 70 12 If the covariance of returns between the two securities is −0.0240, the expected standard deviation of the portfolio is closest to:

A. 2.4%.

B. 7.5%.

C. 9.2%.

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