A certain portfolio has expected return 18.8%, with standard deviation 31%, and the risk-free asset has expected
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Question:
A certain portfolio has expected return 18.8%, with standard deviation 31%, and the risk-free asset has expected return 1.8%. Using the Utility function discussed in class and as defined in Chapter 6 of our Bodie, Kane, Marcus textbook, at what level of risk aversion, A, will an investor be indifferent between the portfolio and the risk-free asset?
Select one:
a. -1.54
b. insufficient information to determine
c. -3.91
d. 3.54
e. 0.83
f. 0.96
g. 1.10
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
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