Conrad and Megan create a portfolio based on their view of the expected returns on each of thirty different companies, the expected standard deviation of returns of each of these thirty companies, and the covariance of the returns between each pair of these thirty companies. They hold identical or homogenous views with respect to all of these estimates. Conrad creates his optimum portfolio solely by creating the portfolio with the maximum Doln Sharpe ratio. His portfolio has an expected return of 8 per cent per annum and a standard deviation of returns of 20 per cent per annum. He allocates 3 per cent of his optimum portfolio to a company dedicated to finding a vaccine for the Covid-19 virus. Megan decides to create her optimum portfolio by firstly requiring that 7 per cent of her portfolio will be allocated to the company dedicated to finding a vaccine for the Covid-19 virus. Subject to this constraint, she also creates her optimum portfolio by creating the portfolio with the maximum Sharpe ratio. It is stated that Megan's portfolio must have a standard deviation of returns of greater than 20 per cent per annum. Is this statement true or false? True or False and why?