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1. Find the tangency portfolio associated with the following securities listed in Table 1 . You may assume a risk-free rate of 4% and the

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1. Find the tangency portfolio associated with the following securities listed in Table 1 . You may assume a risk-free rate of 4% and the Table 1: Securities Securities Expected Return Beta Unsystematic Risk. E2 15 1.5 500 625 600 800 600 2 10 9 7 1.0 0.9 0.7 variance of the market index is 400

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