Strategic Asset Allocation (SAA) constructed using a Mean Variance optimization process will result in all of the following, except: The SAA will have the highest Shape Ratio amongst all other portfolios with the same volatility The SAA will have a higher allocation to an asset with higher expected return than to an asset with lower expected return. Assume both assets have similar level of volatility and correlation with other assets. The SAA will have higher allocation to assets with low positive (