You invest $2,000 in a risky asset with an expected rate of return of 0.13(and a standard
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Question:
You invest $2,000 in a risky asset with an expected rate of return of 0.13(and a standard deviation of 0.20) and a T-bill with a rate of return of 0.03.
Knowing thatthe coefficient of risk aversion equals5,to form a portfolio,what optimal percentages of your money must be invested in the risky asset and the risk-free asset, respectively?
choose correct option:
1.) 85% and 15%
2.) 50% and 50%
3.) 75% and 25%
4.) 57% and 43%
5.) Cannot be determined.
Related Book For
Financial Decisions And Markets A Course In Asset Pricing
ISBN: 9780691160801
1st Edition
Authors: John Y. Campbell
Posted Date: