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A single mispriced asset has a reward to risk ratio of 0.2, while the market has a reward to risk ratio of 2.5. Given

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A single mispriced asset has a reward to risk ratio of 0.2, while the market has a reward to risk ratio of 2.5. Given the asset has a beta = 0.6, in constructing an optimal allocation between the mispriced asset and the market, what proportion of your investment would you place in the mispriced asset? O a. 8.02% O b. 25.00% O c. 7.75% O d. 33.33% O e. 12.50%

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