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Return on the tangency portfolio

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Suppose there are two risky assets, c and d, the tangency portfolio is 60% c and 40% d, and the expected return and standard deviation of the return on the tangency portfolio are 5% and 7%, respectively. Suppose also that the risk-free rate of return is 2%.

If you want the standard deviation of your return to be 5%, what proportions of your capital should be in the risk-free asset, asset c, and asset d?

Reference no: EM131318645

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