Using sample average returns and standard deviations of the two investment strategies provided in class slides (S&P 500 and Volatility Strategy), calculate the certainty equivalent
Using sample average returns and standard deviations of the two investment strategies provided in class slides (S&P 500 and Volatility Strategy), calculate the certainty equivalent risk-free rate for the Volatility Strategy.
Assume mean-variance utility with risk aversion coefficient equal to 2.
Enter your answer in percentage points with two decimal spaces
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Authors: Frank K. Reilly, Keith C. Brown
7th Edition
0324171730, 978-0324171730
