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1. Given an optimal risky portfolio with expected return 15%, standard deviation 30%, and risk-free rate 1%: (a) What is the slope of the
1. Given an optimal risky portfolio with expected return 15%, standard deviation 30%, and risk-free rate 1%: (a) What is the slope of the CAL? (b) If you have a utility function U = E(r) - A, and your coefficient of risk aversion is 3, what is the optimal weight in your portfolio given to the risky investments?
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Introduction To Derivatives And Risk Management
Authors: Don M. Chance, Robert Brooks
10th Edition
130510496X, 978-1305104969
