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Question
A portfolio consists of one risky asset and one risk-free asset. The risky asset has an expected return of 11.2 percent and a beta of 1.39. The risk-free asset has an expected return of 3.4 percent. How much of the portfolio is invested in the risk-free asset if the portfolio beta is 1.07?A. 16 percent
B. 23 percent
C. 32 percent
D. 45 percent
E. 54 percent
Answer
This answer is hidden. It contains 40 characters.
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