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An investor has to form a portfolio of two assets, a risky asset with an expected rate of return of 15% and a return standard
An investor has to form a portfolio of two assets, a risky asset with an expected rate of return of 15% and a return standard deviation of 20% and a Treasury Bill that pays 6%. Assume the investors risk aversion coefficient is A = 7.5.
b. What is the optimal portfolio's expected return and return standard deviation?
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