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consider a risky portfolio with an expected rate of return of 12 percent and a standard deviation of 20%. The T-bill rate is 4%. For
consider a risky portfolio with an expected rate of return of 12 percent and a standard deviation of 20%. The T-bill rate is 4%. For an investor with risk aversion coefficient A=3, the optimal proportion of the risky asset in her complete portfolio is ....
a) 20%
b) 66.67%
c) 13.33%
d) 84%
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