Question
You manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 28%. The T-bill rate is 7%. Your
You manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 28%. The T-bill rate is 7%.
Your clients degree of risk aversion is A = 2.0.
Required:
What proportion, y, of the total investment should be invested in your fund?
What are the expected value and standard deviation of the rate of return on your clients optimized portfolio?
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The Economics Of Money Banking And Finance
Authors: Howells, Keith Bain
3rd Edition
0273693395, 978-0273693390
