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Risk free rate is 0.05% How much money should a risk averse investor with $1,000,000 wealth put in each stock and in the risk free
Risk free rate is 0.05%
How much money should a risk averse investor with $1,000,000 wealth put in each stock and in the risk free rate to maximize his utility, if his risk aversion coefficient is A=2.82? i.e, how much should he invest in the risky asset and how much should he invest in risk free asset (ignore any irrelevant information in the table)
Individual Stock Stock A Stock B Expected Returns Variance SD Covariance 0.92% 0.70% 8.37% 1.20% 10.22% 4.67% 0.001154 Portfolio Weight stock A Weight stock A Expected Returns Portfolio 1.16% SD portfolio 4.50%Step by Step Solution
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