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Consider an investor with mean-variance preferences given by: E[Rp] - p. The investor faces an efficient frontier with borrowing and lending at risk free rate

Consider an investor with mean-variance preferences given by: E[Rp] - p. The investor faces an efficient frontier with borrowing and lending at risk free rate Rf = 2%. Market portfolio has an expected return of E[Rm] = 6% and = 40%. Set up investors choice problem and find the fraction of wealth X invested into the market portfolio.

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