Which of the following statements is correct?
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The Sharpe ratio is defined as the risk premium divided by the variance of the portfolio. |
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For the capital allocation line, the higher the borrowing rate, the higher is the slope. |
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The capital allocation line depicts the relationship between portfolio expected returns and variances. |
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If investors can borrow and lend with the same risk free rate, the relationship between return and risk is linear for a portfolio of one risky asset and one risk free asset. |
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