Question
Suppose you have a risk-aversion coefficient of 3.0, and utility function of,U=[]1/2squared , that uses your estimate of annual arithmetic returns (APR) and variance. Which
Suppose you have a risk-aversion coefficient of 3.0, and utility function of,U=[]1/2squared , that uses your estimate of annual arithmetic returns (APR) and variance. Which index wouldyou invest in?
| Date | North_America | Japan | Asia_exJapan | Europe | Global | Rf |
| 199007 | -0.82% | 0.78% | 4.85% | 5.05% | 1.47% | 0.68% |
| 199008 | -8.93% | -11.25% | -7.82% | -10.20% | -10.10% | 0.66% |
| 199009 | -5.41% | -17.43% | -8.25% | -11.74% | -11.64% | 0.60% |
| 199010 | -1.33% | 25.59% | -1.58% | 7.27% | 10.26% | 0.68% |
| 199011 | 6.43% | -13.52% | -2.29% | 0.17% | -3.30% | 0.57% |
| 199012 | 3.11% | 2.34% | -0.61% | -0.95% | 1.63% | 0.60% |
| 199101 | 4.73% | 1.67% | 6.03% | 2.12% | 2.99% | 0.52% |
| 199102 | 7.70% | 12.81% | 9.26% | 7.78% | 9.57% | 0.48% |
| 199103 | 2.80% | -3.76% | 2.13% | -6.34% | -1.93% | 0.44% |
| 199104 | 0.34% | 2.68% | 3.24% | -0.21% | 1.13% | 0.53% |
| 199105 | 4.16% | -1.59% | -0.40% | 1.13% | 1.22% | 0.47% |
| 199106 | -4.27% | -6.61% | -0.50% | -7.02% | -5.65% | 0.42% |
| 199107 | 4.42% | 1.85% | 6.04% | 5.94% | 3.93% | 0.49% |
| 199108 | 2.62% | -6.79% | -1.48% | 1.86% | -0.94% | 0.46% |
| 199109 | -1.29% | 9.10% | 1.16% | 3.42% | 3.34% | 0.46% |
| 199110 | 1.84% | 4.47% | 4.33% | -2.33% | 1.78% | 0.42% |
| 199111 | -3.76% | -8.14% | -0.26% | -1.89% | -4.75% | 0.39% |
| 199112 | 10.30% | 2.85% | 1.58% | 6.61% | 6.56% | 0.38% |
| 199201 | -0.34% | -5.33% | 1.36% | -0.03% | -1.86% | 0.34% |
| 199202 | 1.28% | -6.95% | 1.85% | 0.15% | -1.61% | 0.28% |
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Fundamentals Of Financial Management
Authors: Eugene F. Brigham, Joel F. Houston
16th Edition
0357517571, 978-0357517574
