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Assume three asset classes combined into Portfolio A (w1= 0.25, w2 = 0.15, w3= 0.60) and Portfolio B (w1= 0.30, w2 = 0.35, w3 =

Assume three asset classes combined into Portfolio A (w1= 0.25, w2 = 0.15, w3= 0.60) and Portfolio B (w1= 0.30, w2 = 0.35, w3 = 0.35). Both Portfolio A and Portfolio B are efficient portfolios. Portfolio A has an expected return of 10%, and Portfolio B has an expected return of 20%. Calculate the asset class weightings (combination of Portfolios A and B) for the efficient portfolio with an expected return of 12%.?

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