Suppose the risk-free is 5%, the average investor has a risk aversion co-efficient of A =...
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Suppose the risk-free is 5%, the average investor has a risk aversion co-efficient of A = 2, and the standard deviation of the market portfolio is 20 %. What is the equilibrium value of the market risk premium? What is the expected return on the market? If the average degree of risk aversion were 3, what would be the market risk premium, and expected return? Suppose the risk-free is 5%, the average investor has a risk aversion co-efficient of A = 2, and the standard deviation of the market portfolio is 20 %. What is the equilibrium value of the market risk premium? What is the expected return on the market? If the average degree of risk aversion were 3, what would be the market risk premium, and expected return?
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To calculate the equilibrium value of the market risk premium we need to use the capital asset prici... View the full answer
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