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Expected return and standard deviation of the portfolio

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A portfolio consists of 70% of Security A (expected return of 0.20 and standard deviation of 0.03) and 30% of Security B (expected return of 0.30 and standard deviation of 0.05) and the correlation coefficient between A and B is ?0.0033.

a) Calculate the expected return and standard deviation of the portfolio.

b) Calculate the standard deviation of the portfolio if there was no diversification benefit. Explain this result compared to part a.

Reference no: EM132678988

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