The expected return and beta risk of this portfolio

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Security A offers an expected return of 14 percent with a beta of 1.12 and standard deviation of 7 percent. Security B offers an expected return of 8 percent with a beta of 0.94 and standard deviation of 4 percent. The correlation between the returns of A and B is +0.6. If an investor puts one-fourth of his wealth in A and three-fourths in B, what are the expected return and beta risk of this portfolio?

Reference no: EM131604005

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