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Consider a risky portfolio that offers a rate of return of 1 5 % per year with a standard deviation of 2 0 % per
Consider a risky portfolio that offers a rate of return of per year with a standard deviation of per year. Suppose an investor with meanvariance preferences U Ergamma sigma is indifferent between investing in the risky portfolio and investing in a riskfree asset
earning per year.
a What is the investors risk aversion coefficient, gamma
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