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Suppose the optimal risky portfolio P* has E(r) = 0.1 and σ = 0.2. The risk-fre...
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Suppose the optimal risky portfolio P* has E(r) = 0.1 and σ = 0.2. The risk-free rate is 0.02, and the risk aversion coefficient for an investor is 4. What is the optimal portfolio weight in P* when you construct the optimal complete portfolio?
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33%
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