Question
Consider a portfolio that offers an expected rate of return of 12% and a standard deviation of 21%. T-bills offer a risk-free 6% rate of
Consider a portfolio that offers an expected rate of return of 12% and a standard deviation of 21%. T-bills offer a risk-free 6% rate of return.
What is the maximum level of risk aversion for which the risky portfolio is still preferred to T-bills? (Do not round intermediate calculations. Round your answer to 2 decimal places.)
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Cost Benefit Analysis
Authors: Harry F. Campbell, Richard P.C. Brown
3rd Edition
1032320753, 9781032320755
