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The risk-free return is 3%. The expected market return is 8%, with a standard deviation of 2.5%. To obtain an expected return of of 6%,
The risk-free return is 3%. The expected market return is 8%, with a standard deviation of 2.5%. To obtain an expected return of of 6%, what share of assets must be held in the risky asset? What is the level of risk associated with the resulting portfolio? Justify your answer.
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