Question: What fractions of a portfolio should be allocated to the following independent investments: A has 70 % chance of succeeding and payoff multiplier =

What fractions of a portfolio should be allocated to the following independent investments: A has 70 % chance of succeeding and payoff multiplier α = 1.5; B has 40 % chance of succeeding and payoff multiplier α = 2.6.

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Finance With Monte Carlo 2013th Edition by Ronald W. Shonkwiler