Question: what is the formula to calculate risk aversion coefficient a in order to get 0.5? 36. The annualised market risk premium is 5% and has

what is the formula to calculate risk aversion coefficient a in order to get 0.5?

36. The annualised market risk premium is 5% and has annualised volatility of 22.36%. A friend of yours, who is a mean-variance utility maximiser, invests 50% of their portfolio in the market portfolio and 50% of their portfolio in the risk-free asset is 3% p.a.. You can infer that your friend's risk aversion coefficient, A, is closest to: a. 2 b. 1 c. 0.5 d. 0 0.5 e

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