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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: (I) A standard deviation larger than 40%. (II) A negative weight in the risk-free asset. (III) A positive weight in the risk-free asset.

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