Question: Consider the following return for a portfolio: Compute the average (annualized) geometric return. 20.30% 4.06% 21.68% 4.00% An investor has a coefficient of risk aversion

geometric return. 20.30% 4.06% 21.68% 4.00% An investor has a coefficient of

Consider the following return for a portfolio: Compute the average (annualized) geometric return. 20.30% 4.06% 21.68% 4.00% An investor has a coefficient of risk aversion of 4 . The expected return of the risky portfolio is 10%, with a standard deviation of 17.4%. The risk-free rate is 2%. What is the optimal allocation to the risky asset? 11.49% 33.94% 100% 66.06%

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