Your client has a risk aversion of A 3 when applied to return on wealth over...
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Your client has a risk aversion of A 3 when applied to return on wealth over a 1 year horizon. She is looking at two portfolios: The S&P 500 with a Risk Premium of 8% and a standard Deviation of 20%. A Hedge Fund with a Risk Premium of 12% and a standard Deviation of 35% There is an annual correlation of .6200 Use this data for problems #12 -#16 Fund S&P 500 Hedge Correlation Risk Aversion A Risk Premium STDEV 0.0800 0.1200 0.6200 3.00 What is the Expected Return of this Portfolio? Expected Portfolio Return (Weight of S&P RiskPremium S&P) + (Weight of Hedge* RiskPremium Hedge) 0890 B .0725 .0852 0.2000 0.3500 Your client has a risk aversion of A 3 when applied to return on wealth over a 1 year horizon. She is looking at two portfolios: The S&P 500 with a Risk Premium of 8% and a standard Deviation of 20%. A Hedge Fund with a Risk Premium of 12% and a standard Deviation of 35% There is an annual correlation of .6200 Use this data for problems #12 -#16 Fund S&P 500 Hedge Correlation Risk Aversion A Risk Premium STDEV 0.0800 0.1200 0.6200 3.00 What is the Expected Return of this Portfolio? Expected Portfolio Return (Weight of S&P RiskPremium S&P) + (Weight of Hedge* RiskPremium Hedge) 0890 B .0725 .0852 0.2000 0.3500
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