Question
A risky fund has an expected return of 9.25% and standard deviation of 18%. The T-Bill rate is 5.625%. An investor allocates 0% of her
A risky fund has an expected return of 9.25% and standard deviation of 18%. The T-Bill rate is 5.625%. An investor allocates 0% of her retirement portfolio to the risky fund and 100% to T-Bills. What is the investors risk aversion coefficient (A)?
Group of answer choices
A. -1.11
B. 1.11
C. 0
D. Undefined (infinite)
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An Introduction To Financial Markets A Quantitative Approach
Authors: Paolo Brandimarte
1st Edition
1118014774, 9781118014776
