Question: Suppose that the S&P 500 index has an expected return of 15% and a standard deviation of returns of 25%. The risk-free rate is 3%.

Suppose that the S&P 500 index has an expected return of 15% and a standard deviation of returns of 25%. The risk-free rate is 3%. What is the weight in the S&P 500 of the portfolio on the Capital Allocation Line (CAL) that has an expected return of 20%?

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