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The market portfolio has an expected return of 8.55% and a standard deviation of 11.76%. An investor invests his capital in an effective portfolio according
The market portfolio has an expected return of 8.55% and a standard deviation of 11.76%. An investor invests his capital in an effective portfolio according to CAPM with an expected return of 11.32% and a standard deviation of 17.64% by mortgaging and thus investing 150% in the market portfolio. According to the given conditions, what return should a risk-free investment provide?
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