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5) (20 points) Suppose that the optimal risky portfolio has an expected return of 20% and a standard deviation of 40%. Expected return and standard

5) (20 points) Suppose that the optimal risky portfolio has an expected return of 20% and a standard deviation of 40%. Expected return and standard deviation of a portfolio that lies on the Capital Market Line are 15% and 25%, respectively. a) Find the slope of Capital Market Line. b) What is the risk-free rate in this economy? 2

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