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Suppose you expect the U.S. equities market portfolio to have an annual return of 10% and volatility of 15% going forward. Suppose also that the

Suppose you expect the U.S. equities market portfolio to have an annual return of 10% and volatility of 15% going forward. Suppose also that the current Treasury bill rate is 5%. What would you advise a client with a risk aversion coefficient of 3 to allocate to the risk-free asset, if she were looking to maximize her mean-variance utility?

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