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Business, 01.03.2021 21:50 ace6112

A risky asset P has expected return 15% and standard deviation 20%. The rate ofreturn on risk-free Treasury bills is 5%. Find the optimal portfolio of an investor with preferences given by: U= E(r)- σ^2

in each of the following cases:

a. borrowing to buy P on margin is possible at a rate of 5%.
b. borrowing to buy P on margin is possible at a rate of 10%.

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A risky asset P has expected return 15% and standard deviation 20%. The rate ofreturn on risk-free T...
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