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Asset A has an expected return of 10% and a standard deviation of 25%. Asset B has an expected return of 18% and a standard
Asset A has an expected return of 10% and a standard deviation of 25%. Asset B has an expected return of 18% and a standard deviation of 50%. The correlation between the two assets is -1.0. If a risk-averse investor can hold either of these two assets or any combination of them, it is irrational for the investor to hold all of their money in Asset A.
Select one: True False
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