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Question 8 (10 points) You have mean-variance preferences and there are three assets with the following risk and return profile (on an annual basis) provided
Question 8 (10 points) You have mean-variance preferences and there are three assets with the following risk and return profile (on an annual basis) provided in the table below. You may invest in T-bills and one of two risky portfolios: A or B. You cannot mix A and B. Your investment horizon is one year. Which risky portfolio would you choose and why? (10 points) E(r) Portfolio A 8.5% 18% Portfolio B T-Bill 11% 4% 25% 0% o
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