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A risky fund has an expected return of 12% and a standard deviation 18%. The T-Bill rate is 6%. An investor allocates 90% of her
A risky fund has an expected return of 12% and a standard deviation 18%. The T-Bill rate is 6%. An investor allocates 90% of her retirement portfolio to the risky fund and 10% to T-Bills. What is the investor's risk aversion coefficient (A)? A) 3.7 B) 1.67 C) 2.06 D) 49
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