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A mean-variance investor chooses between a US stock market index and Trea- sury bonds. She invests 50% of her wealth in the stock market. The
A mean-variance investor chooses between a US stock market index and Trea- sury 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 stan- dard deviation of the stock market return is 20%. 4. Calculate her risk-aversion
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