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You have been given the portfolio weights for T-Bill (WTBills) and a risky portfolio (WRisky) in a complete portfolio below. WTBills Whisky 1 0.8
You have been given the portfolio weights for T-Bill (WTBills) and a risky portfolio (WRisky) in a complete portfolio below. WTBills Whisky 1 0.8 0.6 0.4 0.2 0 The current T-bill rate is 1.5%. 0 0.2 0.4 0.6 0.8 The risky portfolio P has averaged 10% more than the Treasury bill rate return. The standard deviation of the risky portfolio P is 21% per year. Assume that these values are representative of investors' expectations for future performance. An investor with coefficient of risk aversion (A) of 5 should invest complete portfolio in T-Bill and portfolio P. of his/her of his/her complete portfolio in risky
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Auditing The Art and Science of Assurance Engagements
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