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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 O

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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 O A greater than 1 O B. equal to zero O c. equal to the weighted average of the securities' standard deviations O D. equal to the sum of the securities' standard deviations O E. equal to 1

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