What is the overall standard deviation

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The risk-free rate is 2%. Portfolio A has an expected return of 10% and a standard deviation of 18%. You currently have XA=71% of your wealth invested in Portfolio A and the rest invested in the risk-free asset. You have decided to use Portfolio B (which has an expected return of 12% and a standard deviation of 22%). Instead of Portfolio A but wish to have the same overall expected return as before. You will thus now allocate XB% of your total wealth to Portfolio B (note XB may differ from XA) and the rest to the risk-free asset. What is the overall standard deviation you will face I your complete portfolio (considering you will invest in both Portfolio B and the risk-free?) Enter the standard deviation in decimal form and rounded accurately to four decimal places.

Reference no: EM132661696

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