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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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