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Return on the Treasury-bill is 1%. The market portfolio has an expected return of 11% and a standard deviation of 8%. Which of the following
Return on the Treasury-bill is 1%. The market portfolio has an expected return of 11% and a standard deviation of 8%. Which of the following portfolio is not a well-diversified portfolio?
A. A portfolio with an expected return of 19.75% and a standard deviation of 15.00%
B. A portfolio with an expected return of 16.00% and a standard deviation of 12.00%
C. A portfolio with an expected return of 13.50% and a standard deviation of 10.00%
D. A portfolio with an expected return of 9.15% and a standard deviation of 8.00%
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