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2. Assume that you manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 27%. The T-bill rate

2. Assume that you manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 27%. The T-bill rate is 7%. Your client chooses to invest 70% of her portfolio in your portfolio and 30% in a T-bill money market fund.

(a) What is the slope of the CAL of your portfolio?

(b) What is the slope of the CAL of your client?

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