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You are evaluating portfolio choices under the framework of mean-variance analy...
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You are evaluating portfolio choices under the framework of mean-variance analysis. The optimal risky portfolio P* has:
- An expected return of 12.5%
- A standard deviation of 25%
The current risk-free rate in the market is 2.0%.
Investor C is conservative and holds an optimal complete portfolio with expected return of 8.3%. What is the standard deviation of Investor C’s optimal complete portfolio?
0%
33%
0%
67%