An investor has the utility function where the investor's utility score = expected return - 1/2 x A x variance, and the investor is considering investing in the optimal risky portfolio and the risk-free asset from problem. If the investor's coefficient of risk aversion constant A is 1.75.

What is their optimal portfolio weight to invest in the optimal risky portfolio to form their complete portfolio?

Answer rating: 100% (QA)

The optimal portfolio weight w can be calculated using the Capital Allocation Line CAL equation whic... View the full answer