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You are constructing a portfolio for an investor with a risk aversion of A=4. You can invest their money in a riskless asset with a
You are constructing a portfolio for an investor with a risk aversion of A=4. You can invest their money in a riskless asset with a return of 0.022, or a risky asset with an expected return of 0.124 and a standard deviation of 0.39. What proportion of their assets should you put in the risky asset? An answer of 0 means none of their assets, an answer of 1 means all of their assets.
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