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4. Suppose you are an investment professional who is considering to invest in a portfolio of three risky assets, SS2 and Sa. Suppose that the

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4. Suppose you are an investment professional who is considering to invest in a portfolio of three risky assets, SS2 and Sa. Suppose that the risk-free rate of return is 1%. It is known that the tangency portfolio contains 5% of S, 30% of S2 and 65% of S3. It is also known that the expected return and the standard deviation of the return for the tangency portfolio are 10% and 5% respectively. (a) If you want the volatility (standard deviation) of the return on a portfolio to be 3%, what proportions of your funds should be in the risk-free asset, asset S1, asset S2 and asset S3? (b) If you want the expected return on your investment to be 13%, what proportions of your funds should be in the risk-free asset, asset Si, asset S2 and asset S3

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