Question
Given an optimal risky portfolio with expected return 15%, standard deviation 30%, and risk-free rate 4%: (a) What is the slope of the CAL? (b)
Given an optimal risky portfolio with expected return 15%, standard deviation 30%, and risk-free rate 4%:
(a) What is the slope of the CAL?
(b) If you have utility function U = E(r) = -(1/2)A2
and your coefficient of risk aversion is 3, what is the optimal weight in your portfolio given to the risky investments?
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The New Managed Account Solutions Handbook
Authors: Stephen D. Gresham, Arlen S. Oransky
1st Edition
0470222786, 978-0470222782
