5279金融与交易困难数值题short

Fee That Shrinks Tangency Weight To 20%

题目

Two uncorrelated risky assets have expected returns 0.06 and 0.09, risk-free rate 0.02, and variances 0.025 and 0.07. Suppose asset 2 carries an annual implementation fee c that reduces its expected return from 0.09 to 0.09-c. What fee c would make the tangency portfolio weight on asset 2 equal to 20%?

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