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Suppose you would like to have a portfolio with a volatility of 30%. If a passive portfolio that mimics the S&P 500 stock index yields
Suppose you would like to have a portfolio with a volatility of 30%. If a passive portfolio that mimics the S&P 500 stock index yields an expected rate of return of 13% and a standard deviation of 25%, and the current Treasury bill rate is 5%, what would your capital allocation between these two assets have to be?
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