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Consider two portfolios. Portfolio A has an expected return of 10% and volatility of 8%. Portfolio B has an expected return of 9% and volatility

Consider two portfolios. Portfolio A has an expected return of 10% and volatility of

8%.

Portfolio B has an expected return of 9% and volatility of 7%. The interest rate on a

risk-free investment is 5%. Which of the two risky portfolios is not on the efficient

frontier? (Hint: Use the two-fund theorem.)

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