Question: Problem 5.36 Given the correlation between securities A and B is (A, B)=0.20, with expected returns and standard deviations listed below, compute the expected return

Problem 5.36 Given the correlation between securities A and B is ρ(A, B)=0.20, with expected returns and standard deviations listed below, compute the expected return and stan[1]dard deviation for each of the following portfolios.

(a) Portfolio 1: 50% of stock A and 50% of stock B.

(b) Portfolio 2: 25% of stock A, 75% of stock B.

(c) Portfolio 3: 75% of stock A, 25% of stock B. Security Return σ A 12% 0.08 B 8% 0.05

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