Question
a)suppose you forecast that the standard deviation of the market return will be 20% in the coming year. if the measure of risk aversion is
a)suppose you forecast that the standard deviation of the market return will be 20% in the coming year. if the measure of risk aversion is 4, what would be a reasonable guess for the expected market risk premium?
b)what will happen to the market risk premium if investors become more risk tolerant?
please be specific and post the formulas also
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Investment Analysis And Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown
7th Edition
0324171730, 978-0324171730
