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Assume that a risk-free asset as well as two risky securities exist in the economy. If the risky securities are perfectly positively correlated with each
Assume that a risk-free asset as well as two risky securities exist in the economy. If the risky securities are perfectly positively correlated with each other, diversifying among the two will not make a greedy risk-averse investor better off. Hint: it may be worth drawing a diagram to clarify your point.
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