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11. You manage a risky portfolio P that has the following characteristics: expected return = 16% and the standard deviation of the return of your
11. You manage a risky portfolio P that has the following characteristics: expected return = 16% and the standard deviation of the return of your portfolio = 20%. The risk-free rate is at 4%. Your client wants to invest a proportion of her total investment budget in your risky portfolio to maximize expected return and at the same time limit the volatility to no higher than 12% on her overall portfolio. Then the proportion she should invest in your risky portfolio is A. 70% B. 75% C. 80% D. 60% E. 65%
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