Suppose you create an optimal risky portfolio investing 60% into a SP500 ETF, and 40% into a European ETF. This optimal risky portfolio has an expected return of 10.92% and a volatility of 16.64%, and the risk-free rate is 2.31%. With your degree of risk aversion, you compute you should invest 66.6% in the optimal risky portfolio, and the rest in the risk-free rate. In the end, your portfolio will be made of the SP500 ETF, the European ETF, and the risk-free rate. What will be the weight of SP500ETF in your complete portfolio
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Suppose you create an optimal risky portfolio investing 60% into a SP500 ETF, and 40% into a Europea...
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