Utility portfolio for investor with risk aversion parameter


Assume the expected return on the S&P 500 portfolio is 14% and the T-bill yield is 5%. The standard deviation of the S&P500 portfolio is 20%. What are the expected returns and variances of portfolios invested in T-bills and the S&P 500 with S&P weights 0%, 10%, 20%, 30%, 40%, 50%, 60%, 70%, 80%, 90%, and 100%. What is the maximum utility portfolio for an investor with risk aversion parameter A=3? What about A=5?

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Finance Basics: Utility portfolio for investor with risk aversion parameter
Reference No:- TGS038592

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