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Optimal portfolio weight to invest in the risky asset

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Reference no: EM132468114

An investor has the utility function listed in problem 3 and is considering investing in a risky asset with an expected return of 14.25% and a standard deviation of 35% and a Treasury bill with a rate of return of 3.95%. If the investor's coefficient of risk aversion constant A is 2.0, what is their optimal portfolio weight to invest in the risky asset?

Reference no: EM132468114

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