Question
A risky fund has an expected return of 10% and standard deviation of 18%. The risk-free rate is 6%. A risk-averse investor having a risk
A risky fund has an expected return of 10% and standard deviation of 18%. The risk-free rate is 6%.
A risk-averse investor having a risk aversion coefficient (A) equal to 3.5 is considering investing a portion of her retirement money in the risky fund with the remainder in cash.
The sharpe ratio of her optimal complete portfolio is what?
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Bond Markets Analysis And Strategies
Authors: Frank J.Fabozzi
7th Edition
0136078974, 978-0136078975
