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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 Ais 20% while

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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 Ais 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 10% O 12%. 0%. O 14%. 6%

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