You estimate that a passive portfolio (i.e., one invested in a risky portfolio that mimics an index)

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You estimate that a passive portfolio (i.e., one invested in a risky portfolio that mimics an index) yields an expected rate of return of 0.15 with a standard deviation of 0.17. Assume the risk free rate is 0.01 and your client's degree of risk aversion is A=6. What is the expected rate of return on your client's optimized portfolio?

Posted Date: May 16, 2024 05:00 PM

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You estimate that a passive portfolio (i.e., one invested in a risky portfolio that mimics an index)

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