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Jacob has decided to invest in Treasury bills and a Markowitz portfolio that is determined by the tangent from the risk free asset to the efficient frontier. The tangest portfolio on the efficient set has expected return of 19% and a standard deviation of 15%. Treasury bills are returning 5% with a standard deviation of 0%. Jacob decides to invest 40% of his funds in T-bills and the rest in the selected portfolio.

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Question: Calculate the ER and standard deviation of his portfolio.

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Basic Finance, Finance

Category:- Basic Finance
Reference No.:- M91162131

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