Suppose the risk-free rate is 5%. The expected return and standard deviation of a risky asset are 10% and 20%, respectively. If an investor invest 25% of her money in the risky asset, which is the investor's risk aversion coefficient? 01 3 05

EBK CFIN
6th Edition
ISBN:9781337671743
Author:BESLEY
Publisher:BESLEY
Chapter8: Risk And Rates Of Return
Section: Chapter Questions
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Question 4
Suppose the risk-free rate is 5%. The expected return and
standard deviation of a risky asset are 10% and 20%,
respectively. If an investor invest 25% of her money in
the risky asset, which is the investor's risk aversion
coefficient?
1
3
5
4
Transcribed Image Text:Question 4 Suppose the risk-free rate is 5%. The expected return and standard deviation of a risky asset are 10% and 20%, respectively. If an investor invest 25% of her money in the risky asset, which is the investor's risk aversion coefficient? 1 3 5 4
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