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An investor wishes to build a risky-asset portfolio based on two funds, A and B. The standard deviation of return on Fund A is 20%

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An investor wishes to build a risky-asset portfolio based on two funds, A and B. The standard deviation of return on Fund A is 20% while the standard deviation on Fund B is 15%. The correlation coefficient between the return on A and B is 0%. The standard deviation of return on the minimum variance portfolio is O 14%. 12% 10% 0% O 6%

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