Question
You manage a risky portfolio with expected rate of return of 16% and a standard deviation of 32%. The T-bill rate is 3%. Your
You manage a risky portfolio with expected rate of return of 16% and a standard deviation of 32%. The T-bill rate is 3%. Your client's degree of risk aversion is A = 8.0. Determine the proportion, y, of the total investment that should be in your risky fund and the proportion (1-y) that should go to the risk-free asset. What is the expected return on the complete portfolio?
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Investments
Authors: Zvi Bodie, Alex Kane, Alan J. Marcus
9th Edition
73530700, 978-0073530703
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