3. Suppose that there are two risky assets, C and D, the tangency portfo- lio is 60%C and 40%D, and the expected return and standard deviation of the...
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proportion of the capital should be in the risk free asset, asset C and asset D

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3. Suppose that there are two risky assets, C and D, the tangency portfo-
lio 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 is 2%. If you want the standard de-
viation of your return to be 5%, what proportion of your capital should
be in the risk-free asset, asset C, and asset D?

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