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Discuss why the portfolios on the efficient frontier strictly dominate other portfolios in the same investment opportunity set. If you are risk-averse in the setting

Discuss why the portfolios on the efficient frontier strictly dominate other portfolios in the same investment opportunity set. If you are risk-averse in the setting of CAPM, what would your optimal portfolio look like? And why would you choose it? Hint: it is a combination of securities.

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