What proportions of capital should be in risk-free assent

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Suppose there are two risky assets, C and D, the tangency portfolio is 65% C and 35% D, and the expected return and the standard deviation of the return on the tangency portfolio are 5% and 7%, respectively. Suppose also that the risk-free rate of return is 1.5%. If you want the standard deviation of your return to be 5%, what proportions of your capital should be in the risk-free assent, asset C, and asset D?

Reference no: EM131969786

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