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A risky fund has an expected return of 10% and a standard deviation of 18%. the T-Bill Rate is 5%. An Investor allocates 110% of
A risky fund has an expected return of 10% and a standard deviation of 18%. the T-Bill Rate is 5%. An Investor allocates 110% of her retirement portfolio to the risky fund and -10% to T-Bills (recall the negative allocations to T-ills indicates borrowing at the risk free rate) What is the investor's risk aversion coefficient? (PLEASE SHOW WORK!!)
A) 2.06 B) -0.71 C) 3.7 D) 1.40
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