Question
A mean-variance investor chooses between a US stock market index and Treasury bonds. She invests 50% of her wealth in the stock market. The expected
A mean-variance investor chooses between a US stock market index and Treasury bonds. She invests 50% of her wealth in the stock market. The expected 1 return of the stock market is 10%. The treasury bond return is 4%. The standard deviation of the stock market return is 20%.
a. Calculate her risk-aversion.
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Financial Markets and Institutions
Authors: Frederic S. Mishkin, Stanley G. Eakins
8th edition
013342362X, 978-0133423624
