Asset A has an expected return of .20 and a standard deviation of .10 while asset B has an expected


Question: Asset A has an expected return of .20 and a standard deviation of .10 while asset B has an expected return of .30 and standard deviation of .15. In view of asset A’s lower individual risk, why would the risk of a portfolio composed of the two assets generally not be minimized by holding only asset A? Under what special circumstance would holding only asset A minimize portfolio risk?

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