Question
A portfolio has an expected rate of return of 10% and a standard deviation of 40%. The risk-free rate is 2%. An investor has the
A portfolio has an expected rate of return of 10% and a standard deviation of 40%. The risk-free rate is 2%. An investor has the following utility function:
U = E(r) - 0.005(A)2
What value of A makes this investor indifferent between the risky portfolio and the risk-free asset?
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An Introduction to Analysis
Authors: William R. Wade
4th edition
132296381, 978-0132296380
