Question: Using the data in the following table, and the fact that the correlation of A and B is 0.30, calculate the volatility (standard deviation) of
Using the data in the following table, and the fact that the correlation of A and B is 0.30, calculate the volatility (standard deviation) of a portfolio that is 80% invested in stock A and 20% invested in stock B.
| Realized Returns |
| ||||
| Year | Stock A | Stock B | |||
| 2008 | 3% | 24% | |||
| 2009 | 5% | 39% | |||
| 2010 | 3% | 1% | |||
| 2011 | 6% | 10% | |||
| 2012 | 5% | 6% | |||
| 2013 | 14% | 17% | |||
The standard deviation of the portfolio is ??? (Round to 2 decimal places)
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