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Assume the following information: Asset A B C Expected Return 15% 15% 15% Standard Deviation 25% 25% 25% Also assume that the correlation between Asset

Assume the following information:

Asset A B C

Expected Return 15% 15% 15%

Standard Deviation 25% 25% 25%

Also assume that the correlation between Asset A and Asset B is -1; the correlation between Asset A and Asset C is +0, and the correlation between Asset B and Asset C is +1. You are going to form a two-stock portfolio. Which of the following would be the optimal investment choice?

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