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Business, 14.06.2021 15:30 tatta95

The stock market of country A has an expected return of 8 percent, and standard deviation of expected return of 5 percent. The stock market of country B has an expected return of 16 percent and standard deviation of expected return of 10 percent. Consider the portfolio with half invested in A and half invested in B. Assume that the correlation of expected return between A and B is negative 1. Calculate the standard deviation of expected return of the portfolio in the last question.
A) 2.5%
B) 5%
C) 7.5%
D) 10%
E) None of the above

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