Standard deviation of the investor optimal portfolio

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Reference no: EM131595884

A three-month Treasury bill is currently yielding 5%. The expected return and the standard deviation of the portfolio with the highest Sharpe ratio equal 12.5% and 10%, respectively. Assuming the point of tangency between the investor’s indifference curve and the CML results in a return of 10.25%, compute for the standard deviation of the investor’s optimal portfolio.

Reference no: EM131595884

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