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Suppose the correlation coefficient between the rates of return on ABC Mutual Fund and the...

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Accounting

Suppose the correlation coefficient between the rates of return on ABC Mutual Fund and the market portfolio is 0.6. The standard deviations of the rates return are 0.30 for ABC and 0.20 for the market portfolio. How would you combine the fund and the riskless asset to obtain a portfolio with a relative systematic risk (beta) of 0.7? What is your weight on the fund?

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