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A treasury bill pays a 6% rate of return. The market portfolio pays 15% with a probability of 20% or 3.875% with a probability of

A treasury bill pays a 6% rate of return. The market portfolio pays 15% with a probability of 20% or 3.875% with a probability of 80%. What percent of wealth would a risk-neutral investor allocate to the market portfolio? Explain.

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