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An investor with mean-variance preferences chooses to invest 70% of her wealth in a risky asset P with an expected rate of return of 15%
An investor with mean-variance preferences chooses to invest 70% of her wealth in a risky asset P with an expected rate of return of 15% and a standard deviation of 20%, and she puts 30% in a riskless Treasury bill that pays 5%. Let C denote this complete portfolio.
Find the risk aversion level of the investor given her optimal portfolio decision above.
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