Question
A portfolio has an expected rate of return of 0.15 and a standard deviation of 0.15. The risk-free rate is 6%. An investor has the
A portfolio has an expected rate of return of 0.15 and a standard deviation of 0.15. The risk-free rate is 6%. An investor has the mean-variance utility function. Which value of the risk aversion coefficient makes this investor indifferent between the risky portfolio and the risk-free asset?
A.7
b.9
c.8
d.6
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The Oxford Handbook Of Pricing Management
Authors: Ozalp Ozer, Robert Phillips
1st Edition
0199543178, 978-0199543175
