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The optimal risky portfolio, P, offers an expected rate of return of 9.8% and a standard deviation of 20%. The risk-free rate is 5%. a.

The optimal risky portfolio, P, offers an expected rate of return of 9.8%

and a standard deviation of 20%. The risk-free rate is 5%.

a. Determine the optimal weight of the risky portfolio in the complete

portfolio for an investor with a coefficient of risk aversion of 3.

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