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We consider three assets with expected returns 4.3%,6.0% and 11.1% and the following covariance matrix: =0.00250.0001120.0014250.0001120.00640.0001520.0014250.0001520.0361 With the same three risky assets, what is the
We consider three assets with expected returns 4.3%,6.0% and 11.1% and the following covariance matrix: =0.00250.0001120.0014250.0001120.00640.0001520.0014250.0001520.0361 With the same three risky assets, what is the value of the risk aversion parameter such that an investor endowed with mean-variance preferences would invest nothing in the risk-free asset? 10.25 18.44 22.65 26.38
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