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Assume a world that satisfies the assumptions of portfolio theory. In this world, only securities...

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Assume a world that satisfies the assumptions of portfolio theory. In this world, only securities A and B are traded. The table below shows the expected return and risk of the two securities: Security E(R) O(R) A 12% 30% B 20% 50% The correlation coefficient between the returns of A and B is 0,8. Investor Pel holds a long position of 4.000 in A and 6.000 in B. His wealth is 10.000. Question: The risk of the portfolio of Pel expressed by the standard deviation of the returns is closest to 37% 40% 43% 46%

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