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Investor place in assets a and b

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Assume the CAPM is the correct asset pricing model, and the risk-free rate of return is 6% and the market portfolio has an expected return and a standard deviation of 16% and 0.10%, respectively. An investor has a portfolio consisting of asset A, which has a beta of 1.6, and asset B, which has a beta of 0.6. If the investor wishes to earn a return identical to that of the market portfolio, what weight should the investor place in assets A and B?

Reference no: EM133073651

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