Given the non-satiation and risk aversion assumptions, which of the following five portfolios has the most desirable risk and return characteristics and thus will be chosen by investors ? The risk-free rate of return is 6%. (Explain or justify your answer briefly.) Portfolio Average Annual Return (%) Standard Deviation (%) R2 14 21 0.70 K 16 24 0.98 24 28 0.96 17 25 0.92 11 18 0.60

Given the non-satiation and risk aversion assumptions, which of the following five portfolios has the most desirable risk and return characteristics and thus will be chosen by investors ? The risk-free rate of return is 6%. (Explain or justify your answer briefly.) Portfolio Average Annual Return (%) Standard Deviation (%) R2 14 21 0.70 K 16 24 0.98 24 28 0.96 17 25 0.92 11 18 0.60

EBK CFIN

6th Edition

ISBN:9781337671743

Author:BESLEY

Publisher:BESLEY

Chapter8: Risk And Rates Of Return

Section: Chapter Questions

Problem 9PROB

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