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Assume an investor has mean-variance utility preferences U = E(R) - 0.5A02 with coefficient of risk aversion A = 5. The market expected return is

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Assume an investor has mean-variance utility preferences U = E(R) - 0.5A02 with coefficient of risk aversion A = 5. The market expected return is E(RM) = 5% and the standard deviation of the market is OM = 10%. The risk-free rate is Rs = 2%. Under CAPM, what's the weight of the risk-free assets (We) on your optimal portfolio

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