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You need to invest $30M in two assets: a risk-free asset with an expected return...

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Accounting

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You need to invest $30M in two assets: a risk-free asset with an expected return of 6% and a risky asset with an expected return of 15% and a standard deviation of 35%. You face a cap of 25% on the portfolio's standard deviation. What is the maximum expected return you can achieve on your portfolio? (4 marks) What is the corresponding Sharpe ratio of the portfolio with the maximum expected return? (4 marks)

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