Question: Two securities have the following characteristics: Security A Security B Expected return 23% 15% Standard deviation 32% 45% Proportion (Weight) 60% 40% Beta 1.1 -0.25

Two securities have the following characteristics:

Security A Security B
Expected return 23% 15%
Standard deviation 32% 45%
Proportion (Weight) 60% 40%
Beta 1.1 -0.25
Correlation Coefficient 0.75

Determine the risk (standard deviation) of the portfolio of Securities A and B.

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