An investor can choose to invest in two diversified funds: one predominantly debt and one equity. The

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An investor can choose to invest in two diversified funds: one predominantly debt and one equity. The mean of debt is 0.0872 and the variance of debt is 0.0473, while the mean and variance of the equity fund are 0.0634 and 0.1061. The covariance between the two funds is 0.35. The risk-free rate of return is 0.35. What percentage of their investment would an investor with risk aversion coefficient of 6 invest in the equity fund to maximize their expected utility?

Posted Date: Nov 15, 2021 04:35 AM

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An investor can choose to invest in two diversified funds: one predominantly debt and one equity. The

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Answer An investor with risk aversion coefficient of 6 would invest 5939 in the equity ... View the full answer

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