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A correlation matrix of the returns for securities A, B, and C is reported below: Security A B 1 Assuming B 0.5 1 C 0

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A correlation matrix of the returns for securities A, B, and C is reported below: Security A B 1 Assuming B 0.5 1 C 0 -0.5 1 that the expected return and the standard deviation of each security are the same, a portfolio consisting of an equal allocation of which two securities will be most effective for portfolio diversification? Securities A and B Securities A and C Securities B and C

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