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You are constructing a portfolio for an investor with a risk aversion of A=3. You can invest their money in a riskless asset with a
You are constructing a portfolio for an investor with a risk aversion of A=3. You can invest their money in a riskless asset with a return of 0.023, or a risky asset with an expected return of 0.093 and a standard deviation of 0.50. What proportion of their assets should you put in the risky asset? An answer of O means none of their assets, an answer of 1 means all of their assets. 0.093
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