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Assume you manage a risky portfolio with an expected return of 17% and a standard deviaiton of 27%. The tbill rate is 7%. Your client

Assume you manage a risky portfolio with an expected return of 17% and a standard deviaiton of 27%. The tbill rate is 7%. Your client chooses to invest a proportion (y) of his portfolio in your fund and the rest (y-1) in the T-bill money market fund. If his risk aversion is 3, what is his optimal positin in the risky asset (y*)

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