Problem

Security A offers an expected return of 15 percent with a standard deviation of 7 percen...

Security A offers an expected return of 15 percent with a standard deviation of 7 percent. Security B offers an expected return of 9 percent with a 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 is the expected return and risk (standard deviation) of this portfolio?

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