An investor with a risk aversion coefficient of A=2.5 is considering forming a portfolio with a...

An investor with a risk aversion coefficient of A=2.5 is considering forming a portfolio with a risk-free and a risky asset. The risk-free rate is 4%, the risky asset has an expected return of 12% with a standard deviation of 20%. (a) Calculate a utility table with weights in 10% increments (0%, 10%, 20%, … 100%) between risk-free and risky asset. (b) Find the set of weights that maximizes the utility for such investor.

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jeff jeffy answered 1 year ago

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