Question
An endowment manager is presented with a risky portfolio that has an expected rate of return of 14% and a standard deviation of 36%. The
An endowment manager is presented with a risky portfolio that has an expected rate of return of 14% and a standard deviation of 36%. The risky portfolio includes the following investments in the given proportions.
| MSFT | 35% |
| Apple | 15% |
| FB | 50% |
The endowment manager estimates its clients' risk aversion coefficient to be 4 and will make its allocation decision between the risky portfolio above and a riskless alternative yielding 2.4% in a utility maximizing manner. Ultimately what proportion of the endowment will be invested in FB?
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Energy And Finance Sustainability In The Energy Industry
Authors: André Dorsman, Özgür Arslan-Ayaydin, Mehmet Baha Karan
1st Edition
3319322664, 978-3319322667
