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Annabelle wants to build a $2,000,000 portfolio with a beta coefficient equal to that of...

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Finance

Annabelle wants to build a $2,000,000 portfolio with a beta coefficient equal to that of the market portfolio from the following four securities:

Title Amount Invested Beta Coefficient

At $400,000 0.95

B 650,000 1.15

C? 1,29

Treasury bills? ?

Can you help her by telling her how much she will have to invest in thefour securities given the desired level of systematic risk.

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