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Construct an optimal portfolio made of a risk-free asset and a tangency portfolio given the following utility function: Ui = 0.5*E(Ri) - 0,025*K*(ai)^2, where
Construct an optimal portfolio made of a risk-free asset and a tangency portfolio given the following utility function: Ui = 0.5*E(Ri) - 0,025*K*(ai)^2, where E(Ri) is the expected return of the optimal portfolio; K is the risk aversion coefficient equal to 10 for our investor; oi is the standard deviation of the optimal portfolio. Determine the weights of all assets comprising the optimal portfolio.
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Financial management theory and practice
Authors: Eugene F. Brigham and Michael C. Ehrhardt
13th edition
1439078106, 111197375X, 9781439078105, 9781111973759, 978-1439078099
