Question: Use the following table to answer the question below. If you have the standard utility function described in the lecture with A = 8, and

Use the following table to answer the question below. If you have the standard utility function described in the lecture with A = 8, and you think the future will be like the 1926-1946 period, what fraction of your investments should be in the T-bill (i.e., the portfolio weight of T-bill)? Round your answer to 4 decimal places. For example, if your answer is 3.205%, then please write down 0.0321. time S&P500 ret. T-bill ret. Std. dev. 1926-2012 11.67% 3.58% 20.48% 1989-2012 11.1% 3.52% 18.22% 1968-1988 10.91% 7.48% 16.71% 1947-1967 15.35% 2.28% 17.66% 1926-1946 8.33% 1.02% 27.32%
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