Compute the optimal fraction of wealth to hold in the risky


Consider an investor with log utility deciding how much to invest in one risky asset and one risk free asset. The risky asset will have an excess return of y > 0 with probability p, and an excess return of -y with probability (1 - p). Compute the optimal fraction of wealth to hold in the risky asset.

Solution Preview :

Prepared by a verified Expert
Basic Computer Science: Compute the optimal fraction of wealth to hold in the risky
Reference No:- TGS02664012

Now Priced at $10 (50% Discount)

Recommended (90%)

Rated (4.3/5)