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There is an investment opportunity set where the optimal risky portfolio O has expected rate of return of 12% and volatility( or standard deviation) of
There is an investment opportunity set where the optimal risky portfolio O has expected rate of return of 12% and volatility( or standard deviation) of 25%, and T-bill yields a risk free rate of 2%.
2. Investor B has an expected risk premium of 7% to the risk-free asset return with her portfolio. Compute the composition of her portfolio and its Sharpe ratio
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