do what you can

Question 11. Consider an investor maximizing log utility over returns deciding how much to invest in one risky asset and one risk-free asset. The risky asset will have excess return y> 0 with probability p and excess return -y with probability (1-P). The risk-free rate is rf > 0. Compute the optimal fraction of wealth to hold in the risky asset in terms of p, y, and rf. If p= 1, how much wealth do you put in the risky asset? If p= }, what is the probability that the optimal portfolio gets return less than or equal to zero? Question 11. Consider an investor maximizing log utility over returns deciding how much to invest in one risky asset and one risk-free asset. The risky asset will have excess return y> 0 with probability p and excess return -y with probability (1-P). The risk-free rate is rf > 0. Compute the optimal fraction of wealth to hold in the risky asset in terms of p, y, and rf. If p= 1, how much wealth do you put in the risky asset? If p= }, what is the probability that the optimal portfolio gets return less than or equal to zero