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2018. The standard deviation of a portfolio which is invested in one risky fund and the risk-free asset is 26.6%. If the standard deviation of

2018. The standard deviation of a portfolio which is invested in one risky fund and the risk-free asset is 26.6%. If the standard deviation of the risky asset is 38% and the risk-free rate is 6% how much of the portfolio is invested in the risk-free asset?

A) 30%

B) 40%

C) 50%

D) 60%

E) 70%

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