An investor has mean-variance utility preferences: coefficient of risk aversion A = 5. U E(R) 0.5A0...

 

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An investor has mean-variance utility preferences: coefficient of risk aversion A = 5. U E(R) 0.5A0 market expected return is E(RM) = 5% standard deviation of the market is M = 10%. risk-free rate is Rf = 2%. - Under CAPM, what's the weight of the risk-free assets (WF) on your optimal portfolio? An investor has mean-variance utility preferences: coefficient of risk aversion A = 5. U E(R) 0.5A0 market expected return is E(RM) = 5% standard deviation of the market is M = 10%. risk-free rate is Rf = 2%. - Under CAPM, what's the weight of the risk-free assets (WF) on your optimal portfolio?