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A asset has an expected return of 2 0 % and standard deviation of 3 0 % . B asset has an expected return of
A asset has an expected return of and standard deviation of B asset has an expected return of and standard deviation of C asset is riskfree with a rate of The correlation between A and B is a What is the expected return and standard deviation of the optimal risky portfolio? b Suppose your complete portfolio must yield an expected return of and be efficient. What is the standard deviation of your portfolio? c What is the proportion of your portfolio invested in A and B respectively?
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