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Consider a mean-variance portfolio framework. The market portfolio, M, has an expected return of 10% and standard deviation of 20%. The risk-free rate is 4%.

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Consider a mean-variance portfolio framework. The market portfolio, M, has an expected return of 10% and standard deviation of 20%. The risk-free rate is 4%. 1) An investor has a mean-variance utility function Up=E(rp)1.5p2. Calculate the expected return of the optimal complete portfolio for this investor. (8 marks)

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