Question
You are a risk-averse mean-variance investor with a risk aversion parameter A = 4. You are currently holding a portfolio with a mean return
You are a risk-averse mean-variance investor with a risk aversion parameter A = 4. You are currently holding a portfolio with a mean return of 9% and return volatility of 15%. What average return would you need to be offered to be willing to accept a portfolio with a 25% standard deviation?
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Fundamentals of Investments
Authors: Gordon J. Alexander, William F. Sharpe, Jeffery V. Bailey
3rd edition
132926172, 978-0132926171
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