Question: 1 EXHIBIT 1 Asset Allocation Expected Return Standard Deviation of Return A B 11.5% 8 6 18% 14 10 1. Investment advisor Yao Shen's estimates

1 1 EXHIBIT 1 Asset Allocation Expected Return Standard Deviation of Return A

EXHIBIT 1 Asset Allocation Expected Return Standard Deviation of Return A B 11.5% 8 6 18% 14 10 1. Investment advisor Yao Shen's estimates the risk aversion coefficient (a) of 5 for her client and uses the following utility function to determine an asset allocation policy. Um = E(Rm) 0.520m = Based on Exhibit 1 and the client's risk aversion coefficient, recommend an asset allocation for her client

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