Question
A risky fund has an expected return of 15% and standard deviation of 20%. The T-Bill rate is 10%. An investor allocates 75% of her
A risky fund has an expected return of 15% and standard deviation of 20%. The T-Bill rate is 10%. An investor allocates 75% of her retirement portfolio to the risky fund and 25% to T-Bills. What is the investors risk aversion coefficient (A)?
Group of answer choices 0.60 5.0 3.7 1.67
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Quantitative Finance Its Development Mathematical Foundations And Current Scope
Authors: T. Wake Epps
1st Edition
0470431997, 9780470431993
