Question: Security A has a standard deviation of .64% and Security B has a standard deviation of 1.39%. If the correlation coefficient between the returns of

Security A has a standard deviation of .64% and Security B has a standard deviation of 1.39%. If the correlation coefficient between the returns of the two securities is +0.86, what is the standard deviation of a portfolio that is invested 40% in A and 60% in B?

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