Question: Open-end question. Show your work - provide enough detail so that I can follow your logic. An investor has determined the following: The Optimal Risky

Open-end question. Show your work - provide enough detail so that I can follow your logic.

An investor has determined the following:

The Optimal Risky portfolio has E(rP)=16% and standard deviation of 40%.

The Minimum Variance portfolio has E(rP)=12% and standard deviation of 30%.

The risk free rate is 3% both for investing and for borrowing.

How should the investor invest his money, if his risk aversion coefficient is A=2 and he wants to maximize his utility? What is the expected return and standard deviation of the investor's complete portfolio?

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