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Business, 09.04.2020 18:58 christianfoster17

An investor with mean-variance preferences chooses to invest 70% of her wealth in a risky asset P with an expected rate of return of 15% and a standard deviation of 20%, and she puts 30% in a riskless Treasury bill that pays 5%. Let X denote the complete portfolio. The expected return of the portfolio C is and the standard deviation of the portfolio is .

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An investor with mean-variance preferences chooses to invest 70% of her wealth in a risky asset P wi...
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