Question: A managed portfolio has a standard deviation equal to 10% and a beta of 0.60 when the market portfolio's standard deviation is 12%. The adjusted

A managed portfolio has a standard deviation equal to 10% and a beta of 0.60 when the market portfolio's standard deviation is 12%. The adjusted portfolio P* needed to calculate the M² measure will have ________ invested in the managed portfolio and the rest in T-bills.

9.40%

120.00%

83.33%

12.00%

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