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Suppose that the market parameters for the coming period: r is 11%, E is 12%, RM is 32%. What is the expected return on a

Suppose that the market parameters for the coming period: r is 11%, E is 12%, RM is 32%. What is the expected return on a perfectly diversified portfolio with a standard deviation of 30%? If an investor with a capital of $12,000 wishes to build a portfolio from the market portfolio and the safe security. Knowing that he is ready to accept a standard deviation of 30%, how much should he put in the market portfolio?

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