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FIN 320 University of Miami Risky Fund Questions
Suppose you manage a risky fund with an expected return of 13%, and a standard deviation of 23%. Suppose further that there exists a risk-free asset that has an expected return of 4%. Your client wants you to allocate their portfolio between the risky and risk-free assets such that their expected return is 7%. What proportion of the client’s portfolio will you allocate to the risky fund? Please enter your answer in percent rounded to the nearest basis point.