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Consider an investment opportunity set formed with two securities that are perfectly positively correlated . The mean-variance efficient portfolio has a standard deviation that is

Consider an investment opportunity set formed with two securities that are perfectly positively correlated. The mean-variance efficient portfolio has a standard deviation that is

A.

greater than 1

B.

equal to zero

C.

equal to the weighted average of the securities standard deviations

D.

equal to the sum of the securities' standard deviations

E.

equal to 1

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