Question: Using the data in the following table, and the fact that the correlation of A and B is 0.21, calculate the volatility (standard deviation) of

Using the data in the following table, and the fact that the correlation of A and B is

0.21,

calculate the volatility (standard deviation) of a portfolio that is

60%

invested in stock A and

40%

invested in stock B.

Realized Returns

Year

Stock A

Stock B

2008

2%

27%

2009

9%

38%

2010

10%

1%

2011

1%

6%

2012

5%

15%

2013

10%

26%

The standard deviation of the portfolio is

nothing%.

(Round to two decimal places.)

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