Question: The following is the information about two securities: Security Return Standard Deviation Beta A 16% 20% 1.2 B 12% 25% 0.8 1. Which of A

The following is the information about two securities:

Security Return Standard Deviation Beta

A 16% 20% 1.2

B 12% 25% 0.8

1. Which of A and B has the higher total risk? Which has the higher systematic risk?

2. What is the value of systematic risk (beta) for a portfolio with 2/3 of the funds invested in A and 1/3 of the funds invested in B?

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