Question
There is a riskless asset with a return of 0.020, and a risky asset with an expected return of 0.363 and standard deviation of 0.301.
There is a riskless asset with a return of 0.020, and a risky asset with an expected return of 0.363 and standard deviation of 0.301. If you were building a portfolio for an investor with a risk aversion of A=2.6, what proportion of their assets would you invest in the risky asset?
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Pricing Analytics Models And Advanced Quantitative Techniques For Product Pricing
Authors: Walter R. Paczkowski
1st Edition
1138623938, 9781138623934
