Question: Is the following statement true or false? Explain your answer briefly (in no more than four sentences). Consider the figure below. A risk averse mean-variance

Is the following statement true or false? Explain your answer briefly (in no more than four sentences). "Consider the figure below. A risk averse mean-variance optimising investor wants to combine one of the risky portfolios (A or B) with the risk-free asset. They should choose portfolio over portfolio A, since portfolio B has a lower risk (standard deviation). E[R] Capital Market Line Mean-stdev frontier B RA 0

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