Question
Problem 9 The variance of the return on the market portfolio is .04 and the expected return on the market portfolio is 20%. If the
Problem 9
The variance of the return on the market portfolio is .04 and the expected return on the
market portfolio is 20%. If the risk-free rate of return is 10%, the market degree of risk aversion, A, is
_________.
A. 0.5
B. 2.5
C. 3.5
D. 5
The answer is B, Byt you you explain
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Financial Economics
Authors: Frank J. Fabozzi, Edwin H. Neave, Guofu Zhou
1st Edition
0470596201, 9780470596203
