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You managed a risky portfolio with an expected rate of return of 18% and a standard deviation of 38%. The T-bill rate is 5%. Your
You managed a risky portfolio with an expected rate of return of 18% and a standard deviation of 38%. The T-bill rate is 5%. Your client's coefficient of risk aversion is 5. What proportion of your client's total investment should be invested in the risky portfolio? What is the expected return of your client's portfolio? What is the standard deviation of your client's portfolio?
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