The expected return of the market index over 2022 is 10%. The standard deviation of returnsof the
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Question:
The expected return of the market index over 2022 is 10%. The standard deviation of returnsof the market index is expected to remain at its long-term average of 18%. The risk-free rate is4%. Calculate:
i. the degree of risk aversion (commonly denoted by ‘A’) for an investor in the marketindex.
ii. the Sharpe ratio of the market index portfolio.
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