2. Suppose that there are a large number of risky assets which are efficiently priced and a riskless asset (f). You are a fund manager acting for a pension fund. The portfolio choice you make for your client is separated into two independent tasks. The first task is to determine the optimal risky portfolio (O) and the second task is to combine the riskless asset and the optimal risky portfolio. The first task is straightforward as it is purely computational. The second task is specific to the clients requirement. That is, the exact portfolio mix between O and f depends on the pension fund administrators expressed desire for the risk and return. The resulting portfolio is known as the complete portfolio (C). This procedure, which dramatically reduces the computational challenge of the portfolio management, is based on the separation property.

A. True B. False