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The risky portfolio expected return and standard deviation is 1 4 % and 2 0 % , respectively. The risk free rate is 5 %
The risky portfolio expected return and standard deviation is and respectively. The risk free rate is The risk aversion coefficient A is and for Mary and Kim, respectively. Answer the following questions:
A Who is more risk averse?
B What is the capital allocation y to the risky portfolio for each investor?
C Suppose investors have the following utility function:
U ER A
Calculate the Utility level for each investors optimal complete portfolio.
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