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Consider an economy with two types of firms, S and I. S firms all move together. I firms move independently.

Consider an economy with two types of firms, S and I.  S firms all move together.  I firms move independently.  For both types of firms, there is a 60% probability that the firms will have 15% return and a 40% probability that the firms will have a -10% return.  What is the volatility (standard deviation) of a portfolio that consists of an equal investment in 20 firms of

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