Question
The expected rate of return and the standard deviation of a portfolio are of 10%, respectively 16%, while the risk-free rate of return on the
The expected rate of return and the standard deviation of a portfolio are of 10%, respectively 16%, while the risk-free rate of return on the market is 2%. What is the maximum level of risk aversion for which the risky portfolio is still preferred to risk-free portfolio?
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Professionals Handbook Of Financial Risk Management
Authors: Lev Borodovsky, Marc Lore
1st Edition
0750641118, 978-0750641111
