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An investment market consists of the following four risky assets: In addition, investors can invest in a risk-free asset with a return of 3.5% p.a.

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An investment market consists of the following four risky assets: In addition, investors can invest in a risk-free asset with a return of 3.5% p.a. You may assume that the returns on the assets are uncorrelated and that the CAPM holds and in particular that investors have homogeneous expectations. Determine the composition of the portfolio that a rational investor will select if they desire an expected return of 6.2% p.a

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