Question: Consider two assets, a and b, with expected returns and standard deviations given by the vectors (1.2, 0.1) and (1.3, 0.1), respectively. Explain whether the

Consider two assets, a and b, with expected returns and standard deviations given by the vectors (1.2, 0.1) and (1.3, 0.1), respectively. Explain whether the following statement is true or false: asset a will never be part of the market portfolio since for the same risk it offers a lower rate of return than asset b.

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