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(15 points L04) An investor invests 70% of her wealth in a risky portfolio with an expected rate of retum 15% and a variance of
(15 points L04) An investor invests 70% of her wealth in a risky portfolio with an expected rate of retum 15% and a variance of 0.05, and she puts the remaining funds in a Treasury bill that pay a. What is the complete portfolio's expected return and standard deviation? (point b. The risky portfolio (above) she invested y Portfolio (above) she invested in includes three different securities presented below: Security A: E(T) = .17; Risky Portfolio weight: 10% Security B: E(t) = .12; Risky Portfolio weight: 30% Security C: E(r) = .14; Risky Portfolio weight: 60% Calculate the weight of each asset in the risky P e une weight of each asset in the risky portfolio and the weight of Treasury bull as part of her complete portfolio (4 points) c. If her target return of the complete portfolio is 13%, how much should she allocate to each security in the risky portfolio and the risk-free asset from a total investment of $100,000? (7 points)
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