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You have $10,000 to invest in a combination of a risk- free asset (f), an S&P 500 index fund (S), and a corporate bond fund

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You have $10,000 to invest in a combination of a risk- free asset (f), an S&P 500 index fund (S), and a corporate bond fund (B) with the following properties: Asset Expected return Risk Risk-free asset 0.05 0.00 S&P 500 index fund 0.12 0.19 Corporate bond fund 0.055 0.10 The correlation of the returns on the corporate bond fund and the stock index fund is equal to 0.30. Select which portfolio below is closest to the tangency portfolio. None of these portfolios can be the tangency portfolio, as the tangency portfolio combines both risk-free and risky assets 60% invested in S and 40% in B (assume that the risk of this portfolio is 0.1317) 30% invested in S and 70% invested in B (Assume that the risk of this portfolio is 0.1027) 20% invested in S and 80% invested in B (Assume that the risk of this portfolio is 0.0983) 90% invested in S and 10% invested in B (Assume that the risk of this portfolio is 0.1743)

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