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Expected Standard Correlation Matrix Return Deviation US Stocks US Bonds US Stocks 6% 14%...

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Accounting

Expected Standard Correlation Matrix Return Deviation US Stocks US Bonds US Stocks 6% 14% 1.00 US Bonds 3% 8% -0.25 1.00

A) Sharon's coefficient of risk aversion is 6. How much of her portfolio should she allocate to the mutual fund, and how much to the risk-free asset?

Percent Invested in Mutual Fund?

Percent Invested in the risk-free asset?

B) Felicia's coefficient of risk aversion is 10. How much of her portfolio should she allocate to the mutual fund, and how much to the risk-free asset?

Percent Invested in the mutual fund?

Percent Invested in the risk-free asset?

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