et expected return and standard deviation of a risky portfolio are 10% and 18% respectively. Risk-free rate is 5%. If your risk-aversion coefficient is 2.5 (with this value your utility is maximised), what will be the expected return and standard deviation of the complete portfolio at the point where your indifference curve is tangent to the CAL?

et expected return and standard deviation of a risky portfolio are 10% and 18% respectively. Risk-free rate is 5%. If your risk-aversion coefficient is 2.5 (with this value your utility is maximised), what will be the expected return and standard deviation of the complete portfolio at the point where your indifference curve is tangent to the CAL?

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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Question

Let expected return and standard deviation of a risky portfolio are 10% and 18% respectively. Risk-free rate is 5%. If your risk-aversion coefficient is 2.5 (with this value your utility is maximised), what will be the expected return and standard deviation of the complete portfolio at the point where your indifference curve is tangent to the CAL?

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