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Mr. Chris, CFA, is a Japanese investor living in Tokyo. Most of his funds are invested in a portfolio with an annual risk premium of

Mr. Chris, CFA, is a Japanese investor living in Tokyo. Most of his funds are invested in a portfolio with an annual risk premium of 0.07 and a variance of 0.0300. Suppose that the average Japanese market risk premium is 0.05, with a variance of 0.0350.



What is the best guess of Mr. Chris capital allocation between the Nikkei 225 index and the Japanese T-Bills?

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