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You wish to form a complete portfolio, C, from a risky asset A and a risk-free asset. Asset A has expected rate of return of

You wish to form a complete portfolio, C, from a risky asset A and a risk-free asset. Asset A has expected rate of return of 12 percent and standard deviation of 19 percent, while the risk free rate of return is 3.6 percent. If you want portfolio C's expected return to be 10 percent, what percentage of your investment fund should you invest in asset A?

A.

80 percent

B.

64 percent

C.

76 percent

D.

59 percent Please show work

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