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Question 10 [6 points] Assume an investor has mean-variance utility preferences with coefficient of risk aversion. The market expected return is and the standard deviation

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Question 10 [6 points] Assume an investor has mean-variance utility preferences with coefficient of risk aversion. The market expected return is and the standard deviation of the market is . The risk-free rate is . Under CAPM, what's the weight of the risk-free assets () on your optimal portfolio? Question 10 [6 points] Assume an investor has mean-variance utility preferences with coefficient of risk aversion. The market expected return is and the standard deviation of the market is . The risk-free rate is . Under CAPM, what's the weight of the risk-free assets () on your optimal portfolio

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