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  3. 8b) a mean-variance investor has utility function

8b) A mean-variance investor has utility function , where is portfolio expected return, ...

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Finance

  1. 8b) A mean-variance investor has utility function , where is portfolio expected return, is portfolio standard deviation, and is the investors risk-aversion coefficient. If the risk-free rate of return is 2%, the average return on the market index is 8%, and the standard deviation of the market index is 30%, what risk-aversion coefficient would justify investing 100% in the market index?
    1. (9 marks)

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