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A portfolio of risky assets managed by a fund company has an expected return of 10%, a standard deviation of 12%, and a risk-free rate
A portfolio of risky assets managed by a fund company has an expected return of 10%, a standard deviation of 12%, and a risk-free rate of 5%. A. Client A of this fund company wants to construct an investment portfolio of risk-free assets and risk-free assets. If customer A wants to obtain an expected return of 15% from the completed portfolio (the final investment portfolio), what should be the investment ratio between the risk-free portfolio and the risk-free asset? B. What is the standard deviation of the return on client A's completed portfolio? C. Another customer B wants the maximum expected return within the range where the standard deviation of the return of his completed portfolio does not exceed 20%. Which customer is more risk averse?
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