ABC Capital manages a $100 million portfolio invested equally in 100 different stocks. Half of the securities have a beta of 1.2 and a standard deviation of 20%. The other half of the securities have a beta of 0.8 and a standard deviation of 25%. Are the following statements true or false? Briefly explain. A. This portfolio is not diversified. B. This portfolio is as risky as the overall market. C. This portfolio has a standard deviation of 22.5%. [6 marks]
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