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The tangent portfolio for a mean-variance investor is known to have expected return 10 and standard deviation 10 . The risk-free rate is 5 .
The tangent portfolio for a mean-variance investor is known to have expected return 10 and standard deviation 10 . The risk-free rate is 5 . Another portfolio X has a standard deviation 20 and correlation 0.9 with the tangent portfolio. if an investor only wishes to hold X and the risk-free asset, how many units of X should be held to achieve a return of 20
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