Question: Two securities have the following characteristics: Furthermore, the correlation of returns between the securities is 1.0. Determine the risk (standard deviation) of a portfolio consisting

Two securities have the following characteristics:

Furthermore, the correlation of returns between the securities is €“1.0. Determine the risk (standard deviation) of a portfolio consisting of equal proportions of Securities A andB.

Expected return Standard deviation Beta Security A 15% 4% 0.90 Security B 12% 6% -0.25

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