Question
The average coefficient of risk aversion is equal to 3. The volatility of the market portfolio is 20%, the volatility of the consumption-tracking portfolio is
The average coefficient of risk aversion is equal to 3. The volatility of the market
portfolio is 20%, the volatility of the consumption-tracking portfolio is 10%, the correlation
between the two portfolio is 30%. What should be the market premium? Does the theory underlying
your answer explain the actual market premium?
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Personal Finance
Authors: Jack Kapoor, Les Dlabay, Robert J. Hughes
11th edition
9781259278617, 77861647, 1259278611, 978-0077861643
