Construct an optimal portfolio made of a risk-free asset and a tangency portfolio given the following...
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Construct an optimal portfolio made of a risk-free asset and a tangency portfolio given the following utility function: Ui = 0.5*E(Ri) - 0,025*K*(ai)^2, where E(Ri) is the expected return of the optimal portfolio; K is the risk aversion coefficient equal to 10 for our investor; oi is the standard deviation of the optimal portfolio. Determine the weights of all assets comprising the optimal portfolio. Construct an optimal portfolio made of a risk-free asset and a tangency portfolio given the following utility function: Ui = 0.5*E(Ri) - 0,025*K*(ai)^2, where E(Ri) is the expected return of the optimal portfolio; K is the risk aversion coefficient equal to 10 for our investor; oi is the standard deviation of the optimal portfolio. Determine the weights of all assets comprising the optimal portfolio.
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Related Book For
Financial management theory and practice
ISBN: 978-1439078099
13th edition
Authors: Eugene F. Brigham and Michael C. Ehrhardt
Posted Date:
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