Consider the problem of an investor who has $100000 to invest for 1 period. There are...

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Consider the problem of an investor who has $100000 to invest for 1 period. There are two available assets. The first one is a stock with an expected return of 8%, and a volatility of 2%. The other one is a bond with a constant return of 2%. The risk aversion of the investor is y = 2. The mean variance utility function of the investor is (E) (w) - (V)(w) Calculate the portfolio weight on the stock. (Answer in fraction) Consider the problem of an investor who has $100000 to invest for 1 period. There are two available assets. The first one is a stock with an expected return of 8%, and a volatility of 2%. The other one is a bond with a constant return of 2%. The risk aversion of the investor is y = 2. The mean variance utility function of the investor is (E) (w) - (V)(w) Calculate the portfolio weight on the stock. (Answer in fraction)

Answer rating: 100% (QA)

There are two assets a stock and a bond Stock has an expected retur... View the full answer