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An investor can design a risky portfolio based on risky assets, a fixed-income ETF, and an equity ETF. The fixed income ETF has an expected
An investor can design a risky portfolio based on risky assets, a fixed-income ETF, and an equity ETF. The fixed income ETF has an expected return of 6% and a standard deviation of return of 10%. The equity ETF has an expected return of 14% and a standard deviation of return of 25%. The correlation coefficient between both ETFs is .40. The risk-free rate of return of 2%. The proportion of the optimal risky portfolio that should be invested in the fixed income ETF is -------.
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