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An investment company makes the following forecasts about market conditions: expected return on the market portfolio 7%. Standard deviation on the market portfolio 20%, risk-free
An investment company makes the following forecasts about market conditions: expected return on the market portfolio 7%. Standard deviation on the market portfolio 20%, risk-free rate: 2%. An investor wants to invest in the market portfolio so that the standard deviation of her overall portfolio is half of that of the market portfolio.
What is the expected return she could expect of her overall portfolio.?
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