(Solved by Humans)-What level of risk aversion do you have if the risky
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- What?level?of?risk?aversion?do?you?have?if?the?risky?EFET-PORTFOLIO?in
- yields?an?Utility?(U)?level?equal?to?that?of?the?risk?free?rate?
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| Expected return (per annum) according to CAPM | Standard deviation | Beta | Sharpe Ratio | Weight of share in risky share portfolio (i.e. shares A & B) called the EFET-PORTFOLIO |
| Share A | 1.121.2% | 1.2 38.48% | 1.22 | 0.317 | 55% |
| Share B: | 22% | 1.3 42.16% | 1.41.3 | 1.50.308 | 45% |
| Market portfolio | 19% | 30% | 1.6 1 | 1.7 0.33 | Not applicable |
| Treasury Bill: | 9% | Not applicable | |||
| Standard deviation of the EFET-PORTFOLIO: 33.24%. Covariance between Shares A and B: 6.00% |
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This question was answered on: 10 May, 2025
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