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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