Question
You are trying to allocate your assets into a risky portfolio and the purchase of a risk free asset with a return of 2%. You
You are trying to allocate your assets into a risky portfolio and the purchase of a risk free asset with a return of 2%. You use the following data to estimate information about the risky portfolio:
| Year | Return |
| 2014 | -15% |
| 2015 | -5% |
| 2016 | 30% |
| 2017 | -10% |
| 2018 | 35% |
If you have a risk-aversion factor of 2.5, what percentage of your total portfolio should be in the risky portfolio?
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International Business Competing In The Global Marketplace
Authors: Charles Hill
14th Edition
1260387542, 9781260387544
