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d) Given the following data for the shares X and Y

Share Return(%) Standard Deviation(%)

X 8 11 Y 14 19

Correlation co-efficient = +0.4

The Risk free rate of return is 5%. Explain how Tom might construct a portfolio (consisting of both shares in equal proportions and risk-free borrowing) which has a standard deviation of 16%. Calculate the return of this portfolio.

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关键词：correlation proportions Proportion Portfolio Deviation 求助

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