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Business, 25.02.2020 19:50 sam710

Portfolio AB has half of its funds invested in Stock A and half in Stock B. Portfolio ABC has one third of its funds invested in each of the three stocks. The risk-free rate is 5%, and the market is in equilibrium, so required returns equal expected returns. Which of the following statements is CORRECT?
(A) Portfolio ABC's expected return is 10.66667%.
(B) Portfolio AB has a standard deviation of 20%.
(C) Portfolio ABC has a standard deviation of 20%.
(D) Portfolio AB's required return is greater than the required return on Stock A.
(E) Portfolio AB's coefficient of variation is greater than 2.0.

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