A risky fund has an expected return of 10% and standard deviation of 18%.  The T-Bill rate is 5%. An investor allocates 130% of her retirement portfolio to the risky fund and -30% to T-Bills (recall the negative allocation to T-Bills indicates borrowing at risk free rate). What is the investor's risk aversion coefficient (A)?

Answer rating: 100% (QA)

To calculate the investors risk aversion coefficien... View the full answer