Question: There is a very volatile security which pays you a positive return when the market performs poorly and a negative return when the market performs

There is a very volatile security which pays you a positive return when the market performs poorly and a negative return when the market performs well. The expected return on this asset is 2%, which is equal to the risk-free rate. It would never be optimal to include this asset in a rational mean-variance investors portfolio.

Is this statement true or false? Explain

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