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Suppose the expected return on portfolio risky assets = 12%; risk free rate T-Bill = 5%; Investor's risk aversion level is 4 and portfolio return

Suppose the expected return on portfolio risky assets = 12%;

risk free rate T-Bill = 5%;

Investor's risk aversion level is 4 and

portfolio return variance= 0.142.

So what is the best proportion of investment in the risky asset portfolio and the risk-free rate?

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To determine the best proportion of investment in the risky asset portfolio and the riskfree rate we can use the Capital Allocation Line CAL framework ... blur-text-image

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