Question: Security Expected Return Beta Standard Deviation of Returns A 1.7 0.50 B 8% 0.15 C 15% 0.50 D 7.0% 0.30 Risk-Free 1.0% Market Index 1.0%

Security	Expected Return	Beta	Standard Deviation of Returns
A		1.7	0.50
B	8%		0.15
C	15%		0.50
D	7.0%		0.30
Risk-Free	1.0%
Market Index	1.0%

Assume the correlation between the returns of security C and Security D is - 1. What is the standard deviation of returns for a portfolio of 30% of asset C and 70% of asset D? (round to 2 decimal places)

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