Your clients degree of risk aversion is A = 3.5. a. What proportion, y, of the total

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Your client’s degree of risk aversion is A = 3.5.

a. What proportion, y, of the total investment should be invested in your fund?

b. What are the expected value and standard deviation of the rate of return on your client’s optimized portfolio? p-936

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ISE Investments

ISBN: 9781266085963

13th International Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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