This question assumes the standard mean-variance utility function. A pension scheme offers investors two possible funds to invest in: a cash fund and a balanced fund. The cash fund offers a guaranteed return of 1.90%. The balanced fund offers an expected return of 5.50% with volatility 17.80%. What is the lowest level of risk-aversion that would cause an investor to choose the cash fund? 2.27 0.40 3.47 0.02
This question assumes the standard mean-variance utility function. A pension scheme offers investors two possible funds to invest in: a cash fund and a balanced fund. The cash fund offers a guaranteed return of 1.90%. The balanced fund offers an expected return of 5.50% with volatility 17.80%. What is the lowest level of risk-aversion that would cause an investor to choose the cash fund? 2.27 0.40 3.47 0.02
Pfin (with Mindtap, 1 Term Printed Access Card) (mindtap Course List)
7th Edition
ISBN:9780357033609
Author:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk
Publisher:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk
Chapter14: Planning For Retirement
Section: Chapter Questions
Problem 10FPE
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This question assumes the standard mean-variance utility function. A pension scheme offers investors two possible funds to invest in: a cash fund and a balanced fund. The cash fund offers a guaranteed return of 1.90%. The balanced fund offers an expected return of 5.50% with volatility 17.80%. What is the lowest level of risk-aversion that would cause an investor to choose the cash fund?
2.27 |
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3.47 |
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0.02 |
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