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You manage a market index portfolio with an annual expected return of 12% and standard deviation of 23%. The t-bill rate is 5%.Your clients degree
You manage a market index portfolio with an annual expected return of 12% and standard deviation of 23%. The t-bill rate is 5%.Your clients degree of risk aversion is A=3.What proportion of your client's money should be invested in the market index fund, and what proportion should be invested in the t-bill?
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