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Now, consider constructing an optimal risky portfolio that combines the US index with the six other country indices. What are the portfolio weights of the

Now, consider constructing an optimal risky portfolio that combines the US index with the six other country indices. What are the portfolio weights of the optimal risky portfolio? What are the mean, standard deviation, and Sharpe Ratio of this portfolio? Comment on the improvement in the Sharpe Ratio compared to when the US index was the optimal risky portfolio.

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