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What is covariance between the two securities

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Reference no: EM133305776

Question

Security A has a standard deviation of 12%. Security B has a standard deviation of 20%. The correlation of returns is 0.8.

a. What is the covariance between the two securities?

b. What is the standard deviation of a two-security portfolio invested 30% in security A and 70% in security B?

Reference no: EM133305776

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