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Amy has a risk-aversion A=3. The risk-free rate is 6%. The risky portfolio has an expected return = 18% and variance=16%. What % of her
Amy has a risk-aversion A=3. The risk-free rate is 6%. The risky portfolio has an expected return = 18% and variance=16%. What % of her complete portfolio should she invest in the risky portfolio?
A) 7.5 %
B) 10.0 %
C) 12.5 %
D) 25.0%
E) None of the above
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