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An investor can borrow or invest at a risk-free rate of 4%. The investor is a mean-variance utility maximize with a risk aversion coefficient A

An investor can borrow or invest at a risk-free rate of 4%. The investor is a mean-variance utility maximize with a risk aversion coefficient A = 4. What is the expected return on an optimal allocation between the risk-free security and a risky portfolio with an expected return of 10% and a volatility of 20%?

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