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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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