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If your risk-aversion coefficient is A = 4 and you believe that the entire 1950-2017 period is representative of future expected performance, what fraction of
If your risk-aversion coefficient is A = 4 and you believe that the entire 1950-2017 period is representative of future expected performance, what fraction of your portfolio should be allocated to T-bills and what fraction to equity? What if you believe that the 1984-2017 period is representative? How do you results change if you believe that the 1950-1983 period is representative? What do you conclude upon comparing your answers to (1), (2)and (3p art II Repeat Part I with a coefficient of risk aversion A-20. Comment on the relationship between risk aversion and asset allocation. If your risk-aversion coefficient is A = 4 and you believe that the entire 1950-2017 period is representative of future expected performance, what fraction of your portfolio should be allocated to T-bills and what fraction to equity? What if you believe that the 1984-2017 period is representative? How do you results change if you believe that the 1950-1983 period is representative? What do you conclude upon comparing your answers to (1), (2)and (3p art II Repeat Part I with a coefficient of risk aversion A-20. Comment on the relationship between risk aversion and asset allocation
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