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An investor has mean-variance utility preferences: U = E(R) 0.5A02 coefficient of risk aversion A = 5. market expected return is E(RM) = 5% standard
An investor has mean-variance utility preferences: U = E(R) 0.5A02 coefficient of risk aversion A = 5. market expected return is E(RM) = 5% standard deviation of the market is om = 10%. risk-free rate is Rf = 2%. Under CAPM, what's the weight of the risk-free assets (Wf) on your optimal portfolio
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