Question: Is the following statement true or false? Explain your answer briefly (in no more than four sentences). Suppose the tangency portfolio of risky assets has

Is the following statement true or false? Explain your answer briefly (in no more than four sentences).

"Suppose the tangency portfolio of risky assets has an expected return of 12% with a standard deviation of 20%. The risk-free rate is 4%. If you are a mean-variance optimising investor with risk-aversion coefficient A = 2, your optimal portfolio consists of 100% risky assets."

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