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Please show all your work. Suppose that the risk-free lending rate, rf , is 4%, while the borrowing rate is 6%. If the portfolio P

Please show all your work.

Suppose that the risk-free lending rate, rf , is 4%, while the borrowing rate is 6%. If the portfolio P has the expected return of 12% and a standard deviation of 12.5%, what are the ranges of the coefficient of the risk aversion for which an investor will (a) borrow, (b) lend, and (c) hold only the portfolio P?

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