You manage a market index portfolio with an annual expected return of 12% and standard deviation of
Fantastic news! We've Found the answer you've been seeking!
Question:
You manage a market index portfolio with an annual expected return of 12% and standard deviation of 23%. The t-bill rate is 5%. Your clients degree of risk aversion is A=3. What proportion of your clients money should be invested in the market index fund, and what proportion should be invested in the t-bill?
Posted Date: