Question: 6. Consider a risky fund with 20% standard deviation and 16% expected return. Also, the risk free rate is 4%. a. Write the Capital Allocation

6. Consider a risky fund with 20% standard deviation and 16% expected return. Also, the risk free rate is 4%.

a. Write the Capital Allocation Line equation.

b. Using the fund and the risk free asset, design a portfolio with 11% standard deviation (calculate the fund and the risk free assets weights) and report the portfolio expected return.

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