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Suppose we are given the following info: Expected Return Standard Deviation T-Bills r f = 4% f = 0 S&P 500 (asset P) E[r P
Suppose we are given the following info:
Expected Return | Standard Deviation | |
T-Bills | rf = 4% | f = 0 |
S&P 500 (asset P) | E[rP] = 12% | P = 20% |
Consider an investor, David, whose risk aversion (Coefficient A) is assumed to be 3.5
Compute his optimal (complete) portfolio, round answer to 3 decimal places
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