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5. The proposed assets in the portfolio being considered are as follows: Property Asset Class Characteristics Investment Expected Returns A 10% B 15% 20% Expected

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5. The proposed assets in the portfolio being considered are as follows: Property Asset Class Characteristics Investment Expected Returns A 10% B 15% 20% Expected Risk(gi) Proposed Portfolio Weights 30% 10% 10% 50% 15% 40% Correlation Matrix A B C A 1 0.1 -0.5 B 0.1 1 0.1 -0.5 0.1 1 (Express your answers in decimal points if necessary) (a) Suppose that the client wants to minimize the expected risk across these three property classes. How low can this expected risk be? What will be the corresponding expected return and portfolio weights? (b) Suppose the client can borrow or lend at the risk-free rate of 3%. What should be the tangency portfolio

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