Question
A portfolio has an expected rate of return of 12% and a standard deviation of 20%. The risk-free rate is 4%. An investor has the
A portfolio has an expected rate of return of 12% and a standard deviation of 20%. The risk-free rate is 4%. An investor has the following utility function: U = E(r) - (1/2)(A)(S^2). How much utility would you get from investing in this portfolio if your coefficient A is 1.75?
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Introduction To Mathematical Finance Discrete Time Models
Authors: Stanley R. Pliska
1st Edition
1557869456, 9781557869456
