Compute the expected rate of return of portfolio consisting


Problem

Consider a risky portfolio that offers an expected rate of return of 13% and a standard deviation of 20%. T-bill offers a risk-free 5% rate of return. Mr Bolton has a risk aversion coefficient of 2.5. Compute the expected rate of return of a portfolio consisting of the risky portfolio and risk-free asset that maximises Mr Bolton's utility.

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Finance Basics: Compute the expected rate of return of portfolio consisting
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