7. Assume that an investor's utility function is U(W) a + becW where (a) a, b, c,...

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7. Assume that an investor's utility function is U(W) a + becW where

(a)

a, b,

c, are constants, and

(b) W is wealth. Assuming that the investor prefers more to less and is risk averse, what can be said about the sign of

a, b, c? What are the properties of this utility function in terms of absolute and relative risk aversion ?

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Modern Portfolio Theory And Investment Analysis

ISBN: 9780471007432

5th Edition

Authors: Edwin J. Elton, Martin Jay Gruber

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