Question: Suppose asset A and B has same expected return but asset A has higher volatility than B. When combined with asset C, portfolio A+C and

Suppose asset A and B has same expected return but asset A has higher volatility than B. When combined with asset C, portfolio A+C and B+C has the same expected return but A+C has lower volatility. Suppose you are holding asset C, which one should you include in your portfolio?

Choose the best answer below:

(i) A

(ii) B

(iii) C

(iV) Either A or B

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