7. Assume that the expected return on stocks is 12%, the standard deviation of stocks is 18%,...

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7. Assume that the expected return on stocks is 12%, the standard deviation of stocks is 18%, and the riskfree rate is 5%. Given this information, an investor selects a portfolio comprising a 70% allocation to stocks and a 30% allocation to the riskfree asset. According to the derivation of risk tolerance found in Equation (23.2), what risk tolerance is indicated by this choice?

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Investments

ISBN: 9788120321014

6th Edition

Authors: William F. Sharpe, Gordon J. Alexander, Jeffery V. Bailey

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