Question
You manage a risk portfolio with an expected rate of return of 17% and a stdev of 27%. The T-Bill rate is 7%. q) Suppose
You manage a risk portfolio with an expected rate of return of 17% and a stdev of 27%. The T-Bill rate is 7%.
q) Suppose your clients degree of risk aversion is A=4, what proportion, y, of the total investment should be invested in your fund? What is the expected return and stdev of this new portfolio? The utility function is U=log[E[R]-1/2A 2]
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Originate Motivate Innovate 7 Steps For Building A Billion Dollar Network
Authors: Shelly Omilade Bell, Sonya Renee Taylor
1st Edition
1119900549, 978-1119900542
