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US UK France Germany Japan Means: 0.1355 0.1589 0.1519 0.1435 0.1497 s.d.: 0.1535 0.2430 0.2324 0.2038 0.2298 Correlation matrix: US UK France Germany Japan US
US UK France Germany Japan
Means: 0.1355 0.1589 0.1519 0.1435 0.1497
s.d.: 0.1535 0.2430 0.2324 0.2038 0.2298
Correlation matrix:
US UK France Germany Japan
US 1.0000 0.5003 0.4398 0.3681 0.2663
UK 0.5003 1.0000 0.5420 0.4265 0.3581
FR 0.4398 0.5420 1.0000 0.6032 0.3923
GR 0.3681 0.4265 0.6032 1.0000 0.3663
JP 0.2663 0.3581 0.3923 0.3663 1.0000
- If risk-free rate is 7%, and the only risky asset available is Germany stock, what could be the optimal weight on Germany stock for an investor with a risk aversion of 4?
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