Consider an investor with the mean-variance utility function, i.e., the utility associated with a risky...
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Consider an investor with the mean-variance utility function, i.e., the utility associated with a risky portfolio with mean return u and standard deviation o is U = u - , where y is the coefficient of risk aversion The investor holds an optimal portfolio based on two assets, A and B, with the following information: Expected Return Standard Deviation 10% 46% A B 1.5% 0% If the weight on asset A in the investor's optimal portfolio is wa = 0.51, what is the investor's coefficient of risk aversion y? Hint: In your calculations, make sure to use actual expected return and standard variation and not percentages, i.e., use 0.10 = 10% instead of 10. O 0.90 O 0.72 O 0.79 O 0.76
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