Question
An endowment manager is presented with a risky portfolio that has an expected rate of return of 15% and a standard deviation of 44%. The
An endowment manager is presented with a risky portfolio that has an expected rate of return of 15% and a standard deviation of 44%. The risky portfolio includes the following investments in the given proportions.
| MSFT | 30% |
| Apple | 15% |
| FB | 55% |
The endowment manager estimates its clients' risk aversion coefficient to be 5 and will make its allocation decision between the risky portfolio above and a riskless alternative yielding 1.8% in a utility maximizing manner. Ultimately what proportion of the endowment will be invested in FB?
Provide your answer in percent, rounded to two decimals, omitting the % sign.
Can you please provide me the answer for the above question.
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Managing Currency Options In Financial Institutions
Authors: Yat-Fai Lam, Kin-Keung Lai
1st Edition
1138778052, 978-1138778054
