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R, -6% Question 2 Use the following information to answer the questions below. CAPM data: Market portfolio: E[R, 1-18%, 0-0.2 Risk-free asset: T-bills are also
R, -6% Question 2 Use the following information to answer the questions below. CAPM data: Market portfolio: E[R, 1-18%, 0-0.2 Risk-free asset: T-bills are also available. They are considered riskless and have a corresponding rate of return. You have $20,000 to invest. a) What are Br-m, and 0-suk? (1 mark) b) Consider Portfolio X comprised of T-Bills and a $25,000 investment in the market portfolio i) Find 0. (1 mark) Solve for B,- (1 marks) c) Determine the weights of T-Bills and the market portfolio that combined would create a portfolio X with an expected rate of return of 20%. (2 marks)
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