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An investor holds some combination of the market (tangent) portfolio and a risk-free asset. Suppose that the market (tangent) portfolio has an expected return of

  • An investor holds some combination of the market (tangent) portfolio and a risk-free asset. Suppose that the market (tangent) portfolio has an expected return of 0.12 and a standard deviation of 0.17. The risk-free rate is 3%. If the expected return of the portfolio held by the investor is 0.06, what is the standard deviation (risk) of this portfolio?



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