k) Assume that one of these portfolio's is the Market Portfolio and all portfolios, except Portfolio...

 

Transcribed Image Text:

k) Assume that one of these portfolio's is the Market Portfolio and all portfolios, except Portfolio G, are fairly priced according to the CAPM. What is the highest utility score that can be achieved by an investor with a risk aversion coefficient of A=5? (2 marks) Enter your answer to 3 decimal places eg if your answer is 0.4577 enter as 0.458. Consider the following seven (7) portfolios plotted with the Minimum Variance Frontier. Assume all portfolios, except portfolio G, are fairly priced according to the CAPM: A B C D E IF Expected Return G 35.0% 30.0% 25.0% 20.0% 15.0% 10.0% 5.0% 0.0% 0.0% 5.0% Minimum Variance Frontier 12.2% 20.2% 23.6% 26.4% 15.0% 20.2% 3.0% A 10.0% B E 15.0% Standard Deviation C 11.4% 15.7% 19.5% 22.7% 15.7% 22.5% 19.0% G 20.0% D The risk-free rate in the market is 8.0%. The return and risk of each of the seven portfolios is as follows: Portfolio Expected Return Standard Deviation Fo 25.0% 30.0% k) Assume that one of these portfolio's is the Market Portfolio and all portfolios, except Portfolio G, are fairly priced according to the CAPM. What is the highest utility score that can be achieved by an investor with a risk aversion coefficient of A=5? (2 marks) Enter your answer to 3 decimal places eg if your answer is 0.4577 enter as 0.458. Consider the following seven (7) portfolios plotted with the Minimum Variance Frontier. Assume all portfolios, except portfolio G, are fairly priced according to the CAPM: A B C D E IF Expected Return G 35.0% 30.0% 25.0% 20.0% 15.0% 10.0% 5.0% 0.0% 0.0% 5.0% Minimum Variance Frontier 12.2% 20.2% 23.6% 26.4% 15.0% 20.2% 3.0% A 10.0% B E 15.0% Standard Deviation C 11.4% 15.7% 19.5% 22.7% 15.7% 22.5% 19.0% G 20.0% D The risk-free rate in the market is 8.0%. The return and risk of each of the seven portfolios is as follows: Portfolio Expected Return Standard Deviation Fo 25.0% 30.0%

Answer rating: 100% (QA)

Lets get the highest utility score for an investor with a risk aversion coefficient of A ... View the full answer