Question
Suppose the expected return on portfolio risky assets = 12%; risk free rate T-Bill = 5%; Investor's risk aversion level is 4 and portfolio return
Suppose the expected return on portfolio risky assets = 12%;
risk free rate T-Bill = 5%;
Investor's risk aversion level is 4 and
portfolio return variance= 0.142.
So what is the best proportion of investment in the risky asset portfolio and the risk-free rate?
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To determine the best proportion of investment in the risky asset portfolio and the riskfree rate we can use the Capital Allocation Line CAL framework ...Get Instant Access to Expert-Tailored Solutions
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Fundamentals of Corporate Finance
Authors: Jonathan Berk, Peter DeMarzo, Jarrad Harford, David A. Stangeland, Andras Marosi
1st canadian edition
978-0133400694
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