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11. Consider a Treasury bill with a rate of return of 2.5% and the following risky securities: Security A: E(r) = .14; variance = .0400
11. Consider a Treasury bill with a rate of return of 2.5% and the following risky securities: Security A: E(r) = .14; variance = .0400 Security B: E(r) = .13; variance = .0225 Security C: E(r) = .12; variance = .1000 Security D: E(r) = .11; variance = .0625 The investor must develop a complete portfolio by combining the risk-free asset with one of the securities mentioned above. The security the investor should choose as part of her complete portfolio to achieve the best CAL would be ________, while security ______ should be avoided.
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