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A financial market consists of several risky assets and a risk-free asset with a rate of return r f = 0.4. The equation of the

A financial market consists of several risky assets and a risk-free asset with a rate of return rf = 0.4. The equation of the minimum-variance frontier of risky assets is given by

32 = 8z2 18z + 15

where z and are respectively the mean and standard deviation of the rate of return of any portfolio that lies on this frontier curve. Use the above equation to find

(1) the mean and variance of the portfolio that corresponds to the global minimum-variance point, and

(2) the equation of the capital market line.

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