Question
The Vampguard Fund is a risky portfolio with an expected return = 12% and std deviation = 18%. T-Bills offer a risk-free return of
The Vampguard Fund is a risky portfolio with an expected return = 12% and std deviation = 18%. T-Bills offer a risk-free return of 7%. What is the level of risk aversion that would make the investor indifferent between the risky portfolio and T-Bills? Fill in the table below for the indifference curve that corresponds to a Utility = 0.05 and risk aversions of A=3 and A=4. Standard deviation 0.0 0.05 0.10 0.15 0.20 0.25 Variance E (r) (A-3) E (1) (A=4)
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Intermediate Financial Management
Authors: Eugene F. Brigham, Phillip R. Daves
11th edition
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