How did they get the utility:optimal complete portfolio to be 7.45%. A 1 S&P 500 Risk 2
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A 1 S&P 500 Risk 2 A 3 Risk-Free Rate 4 Expected Return 5 Utility 6 7 8 14 9 Standard Deviation Expected Return 10 7.45% 11 7.46% 12 7.50% 13 7.56% 7.65% 7.76% 7.90% 8.06% 8.25% 15 16 17 18 19 20 21 22 23 24 25 26 27 20 4 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% 11% 12% 13% 14% 15% 16% 17% 10% Sheet1 B + 20.00% 2.5 5.00% 12.00% 7.00% 8.46% 8.70% 8.96% 9.25% 9.56% 9.90% 10.26% 10.65% 11.06% 11 50% C Optimal Complete Portfolio Allocation to S&P 500 Allocation to T-Bills Expected Return: Optimal Complete Portfolio Risk: Optimal Complete Portfolio Utility: Optimal Complete Portfolio Expected Return 18.00% 16.00% 14.00% 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% F 0% G 5% 70% 30% H 10% 9.90% 14.00% 7.45% с J 15% K Risk 20% 4 CAL Points CAL and Indifference Curve 0 0.2 Return 0.05 0.12 U=7,45% 25% M 4 30% N -Indifference Curve <-CAL FITX I m P Q R A 1 S&P 500 Risk 2 A 3 Risk-Free Rate 4 Expected Return 5 Utility 6 7 8 14 9 Standard Deviation Expected Return 10 7.45% 11 7.46% 12 7.50% 13 7.56% 7.65% 7.76% 7.90% 8.06% 8.25% 15 16 17 18 19 20 21 22 23 24 25 26 27 20 4 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% 11% 12% 13% 14% 15% 16% 17% 10% Sheet1 B + 20.00% 2.5 5.00% 12.00% 7.00% 8.46% 8.70% 8.96% 9.25% 9.56% 9.90% 10.26% 10.65% 11.06% 11 50% C Optimal Complete Portfolio Allocation to S&P 500 Allocation to T-Bills Expected Return: Optimal Complete Portfolio Risk: Optimal Complete Portfolio Utility: Optimal Complete Portfolio Expected Return 18.00% 16.00% 14.00% 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% F 0% G 5% 70% 30% H 10% 9.90% 14.00% 7.45% с J 15% K Risk 20% 4 CAL Points CAL and Indifference Curve 0 0.2 Return 0.05 0.12 U=7,45% 25% M 4 30% N -Indifference Curve <-CAL FITX I m P Q R
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The utilityoptimal complete portfolio is 745 because it is the point on the efficient frontier that ... View the full answer
Related Book For
Introduction to Java Programming, Comprehensive Version
ISBN: 978-0133761313
10th Edition
Authors: Y. Daniel Liang
Posted Date:
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