Two securities have the following characteristics:
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|
Security A
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Security B
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|
Expected return
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15%
|
12%
|
|
Standard deviation
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4%
|
6%
|
|
Beta
|
0.90
|
-0.25
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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 and B.