Question: The ABC Equity Fund has an expected return E [ r ] of 1 2 . 1 6 0 % and a standard deviation

The ABC Equity Fund has an expected return E[r] of 12.160% and a standard deviation \sigma of 17%. The ZQR Bond Fund has and expected return E[r] of 2.120% and a standard deviation \sigma of 12%. The correlation coefficient (\rho ) is 0.17. A portfolio comprised of 25% ABC and 75% ZQRwould have a standard deviation of

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