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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.

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