Question: Consider an investor with a quadratic utility function. He is risk averse with a risk aversion parameter of 4. He has learned that he can

Consider an investor with a quadratic utility function. He is risk

Consider an investor with a quadratic utility function. He is risk averse with a risk aversion parameter of 4. He has learned that he can combine risky assets to form an optimal risky portfolio P with an expected return of 8.2% and a standard deviation of 23.7%. He wants to split his capital between the optimal risky portfolio P and the risk free asset. What is the standard deviation of his complete portfolio? Assume the risk free rate is currently 2.1%. 9.09% 93.57% O 2.49% 0 3.76% 5.12% O 5.87% 0 6.43% 10.31% 0 4.13%

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