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Suppose you manage a risky portfolio with expected rate of return of 14% and standard deviation of 19%. The T-bill rate is 5.5%. Your client
Suppose you manage a risky portfolio with expected rate of return of 14% and standard deviation of 19%. The T-bill rate is 5.5%. Your client with risk aversion coefficient of 3.5 chooses to investment 25% in T-bill
Requirements:
- Draw the above information in a two dimensional graph.
- What is the expected value and standard deviation of the rate of return on his complete portfolio?
- Calculate the client's utility value based on req (1)
- Determine the optimal investment in risky portfolio that will attainable utility for this client.
- Calculate the expected return and standard deviation and utility based on re
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