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You own two risky assets, both of which plot on the SML. Asset A has an expected return of 12.37% and a beta of 1.40. Asset B has an expected return of 14.13% and a beta of 1.65. If your portfolio beta is the same as the market portfolio, what proportion of your funds is invested in Asset A?

Please show work & formula used

Financial Management, Finance

  • Category:- Financial Management
  • Reference No.:- M91782060

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