Compute risk of a portfolio consisting of equal proportions

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Reference no: EM13928367

Two securities have the following characteristics:

 

Security A

Security B

Expected return

15%

12%

Standard deviation

4%

6%

Beta

0.90

-0.25

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.

Reference no: EM13928367

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