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A mean-variance investor is constructing an optimal portfolio. The stock of Thunder Electric has an expected return of 3% and zero correlation with all other

A mean-variance investor is constructing an optimal portfolio. The stock of Thunder Electric has an expected return of 3% and zero correlation with all other available risky assets. The risk-free rate is 3%. A rational mean variance investor should hold some non-zero position in the stock because it diversifies the portfolio.

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