Mary is actively managing a portfolio. The portfolio has a beta equal to 0.8, an expected return of 9%, and a total variance of 15%. Mary wants to add the market index to her portfolio. The average return premium and the return variance of the market index are 5% and 10% respectively. The risk-free rate is 1%.

What proportion of the total investment, according to the Treynor-Black model, should be placed in the portfolio and in the market index?

Answer rating: 100% (QA)

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