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Business, 29.04.2021 22:10 allenpaietonp9v8sv

An investor with mean-variance preferences chooses to invest 70% of her wealth in a risky asset P with an expected rate of return of 15% and a standard deviation of 20%, and she puts 30% in a riskless Treasury bill that pays 5%. Let C denote this complete portfolio. The expected return of the portfolio C is and the standard deviation of the portfolio is .

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