9. (Quadratic mean-variance) An investor with unit wealth maximizes the expected value of the utility function U(x)

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9. (Quadratic mean-variance) An investor with unit wealth maximizes the expected value of the utility function U(x) = ax-bx/2 and obtains a mean-variance efficient portfolio A friend of his with wealth W and the same utility function does the same calculation, but gets a different portfolio return. However, changing b to b' does yield the same result What is the value of b"?

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Investment Science

ISBN: 9780195391060

1st International Edition

Authors: David G. Luenberger

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