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20. Stocks A, B, and C have the same expected return and standard deviation. The following table shows the correlations between the returns on

20. Stocks A, B, and C have the same expected return and standard deviation. The following table shows the correlations between the returns on these stocks. Stock A Stock B Stock B Stock A +1.0 Stock B +0.9 +1.0 Stock C +0.1 -0.4 +1.0 Given these correlations, the portfolio constructed from these stocks having the lowest risk is a portfolio: a. Equally invested in stocks A and B. b. Equally invested in stocks A and C. c. Equally invested in stocks B and C. d. Totally invested in stock C

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