Weight of risky portfolio y=(rp-rf)/(A*(sp)^2)=(20%-7%)/(2.5*(37%)^2)=37.98393%
Expected return=y*rp+(1-y)*rf=(20%-7%)/(2.5*(37%)^2)*20%+(1-(20%-7%)/(2.5*(37%)^2))*7%=11.93791%
Standard
deviation=y*sp=(20%-7%)/(2.5*(37%)^2)*37%=14.05405%
You manage a risky portfolio with an expected rate of return of 20% and a standard...
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