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Consider a risky portfolio that offers an expected rate of return of 12% and a standard deviation of 18%. T-bill offers a risk-free 7% rate
Consider a risky portfolio that offers an expected rate of return of 12% and a standard deviation of 18%. T-bill offers a risk-free 7% rate of return. Mr Bolton has a risk aversion coefficient of 2.5. Compute the expected rate of return of a portfolio consisting of the risky portfolio and the risk-free asset that maximises Mr Boltons utility.
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