Question
The annualised market risk premium is 5% and has annualised volatility of 22.36%. A friend of yours, who is a mean-variance utility maximiser, invests 50%
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The annualised market risk premium is 5% and has annualised volatility of 22.36%. A friend of yours, who is a mean-variance utility maximiser, invests 50% of their portfolio in the market portfolio and 50% of their portfolio in the risk-free asset is 3% p.a.. You can infer that your friends risk aversion coefficient, A, is closest to:
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Healthcare Finance An Introduction To Accounting And Financial Management
Authors: Louis C. Gapenski
2nd Edition
1567931650, 978-1567931655
