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14. The market portfolio pays an annualized risk premium of 5% and has an annualized volatility of 22.36%. You know that John is a mean-variance

14. The market portfolio pays an annualized risk premium of 5% and has an annualized volatility of 22.36%. You know that John is a mean-variance investor who invests 50% of his portfolio in the market portfolio and 50% in the risk-free asset. Therefore you can infer that

  1. John has a risk-aversion coefficient of 1
  2. John has a risk-aversion coefficient of 2
  3. John has a risk-aversion coefficient of 1/2
  4. None of the above

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