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Below you are given the expected return and standard deviations for Fund S and Fund B, as well as their correlation and the risk-free T-bill
Below you are given the expected return and standard deviations for Fund S and Fund B, as well as their correlation and the risk-free T-bill rate. a. Given that the optimal risky portfolio with Fund S and Fund B is formed by investing 34% in Fund S and 66% in Fund B, what is the expected return and standard deviation of the optimal risky portfolio? (4 pts) b. If you have a risk aversion coefficient of 10, how much weight will you put in the optimal risky portfolio vs T-bills in your complete portfolio? (4 pts)
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