Question: . Two securities have the following characteristics: (6 Marks) Security A Security B Expected return 25% 15% Standard Deviation 35% 47% Proportion 35% 65% Beta

. Two securities have the following characteristics: (6 Marks)

	Security A	Security B
Expected return	25%	15%
Standard Deviation	35%	47%
Proportion	35%	65%
Beta	0.90	-0.25

Furthermore, the correlation of returns between the securities is 0.7. Determine the risk (standard deviation) of the portfolio consisting of equal proportions of Securities A and B

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