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The risk-free asset has a return of 5%. The market portfolio has an expected return of 20% and a standard deviation of 40%. A portfolio

The risk-free asset has a return of 5%. The market portfolio has an expected return of 20% and a standard deviation of 40%. A portfolio that holds both assets has an expected return of

27.5%. This portfolio also has:

A negative weight in the risk-free asset.

Both a and b

A standard deviation larger than 40%.

Both a and c

A positive weight in the risk-free asset.

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