Question: A friend developed a portfolio that earns an expected return of 20%20% and has a return standard deviation of 34%34%. You say that you can

A friend developed a portfolio that earns an expected return of 20%20% and has a return standard deviation of 34%34%. You say that you can obtain the same expected return using the risk-free rate and market portfolio. Assume that the risk-free rate is 3.7%3.7%, the market return is 17.1%17.1%, and the market volatility is 25%25%. How much should you invest in the risk-free asset of an optimal portfolio to obtain the same expected return?

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