Question
Suppose the optimal risky portfolio consists of 0.62 stocks and the rest are in bonds. It has an expected return of 0.11 and standard deviation
Suppose the optimal risky portfolio consists of 0.62 stocks and the rest are in bonds. It has an expected return of 0.11 and standard deviation of 0.27. If an investor has a risk-aversion of 7, then what is the proportion of stocks in this investor's optimal complete portfolio? Assume that the risk-free rate is 0.02.
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Personal Finance
Authors: E. Thomas Garman, Raymond E. Forgue
13th edition
1337099759, 978-1337516440, 1337516449, 978-1337099752
