A portfolio has an expected rate of return of 23 percent and a standard deviation of 19
Fantastic news! We've Found the answer you've been seeking!
Question:
A portfolio has an expected rate of return of 23 percent and a standard deviation of 19 percent. The risk-free rate is 4 percent. An investor has a risk aversion, A, of 4 and assesses risky assets as if her risk attitude reflects the following utility function: U = E(r) - 12Aσ2. What is the utility of the risky portfolio?
Given the utility function below, which investment would you select and why?
Related Book For
Microeconomics An Intuitive Approach with Calculus
ISBN: 978-0538453257
1st edition
Authors: Thomas Nechyba
Posted Date: