Question: Asset E(R) Std. deviation 40% 50% 20% Your optimal risky portfolio formed with the two stocks above (A and B) has an expected return of

 Asset E(R) Std. deviation 40% 50% 20% Your optimal risky portfolio

Asset E(R) Std. deviation 40% 50% 20% Your optimal risky portfolio formed with the two stocks above (A and B) has an expected return of 16% and a standard derivation of 32%. The risk-free rate is 4% and you have a risk-aversion parameter of 3. What is the proportion of your investment in A, B, and the risk-free asset, respectively, in your final portfolio? 29.3%, 9.8%; 61.0% 6.2%; 6.2%; 87.5% 25,0%; 25.0%; 61,0% 19.5%; 19.5%; 61.0% 30.5%; 30.5%; 39.0%

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