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CAPM data: Market portfolio Risk-free asset: E[R] - 18%, ON -0.2 R, -6% T-bills are also available. They are considered riskless and have a corresponding
CAPM data: Market portfolio Risk-free asset: E[R] - 18%, ON -0.2 R, -6% T-bills are also available. They are considered riskless and have a corresponding rate of return. You have $20,000 to invest. You will combine T-bills and the market portfolio to build a portfolio a) What are Br-bab, and O-B.? b) Consider Portfolio X comprised of T-Bills and a $25,000 investment in the market portfolio Find , i) ii) Solve for R. c) Determine the weights of T-Bills and the market portfolio that combined would create a portfolio X with an expected rate of return of 20%
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