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Suppose an investor has a coefficient of risk aversion, A, equal to 2. Then if she has access to one riskfree asset with a 5%
Suppose an investor has a coefficient of risk aversion, A, equal to 2. Then if she has access to one riskfree asset with a 5% expected return and one risky asset with a 15% expected return and a 25% standard deviation of return, her optimal weight of the risky asset should be:
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