Is the following statement true or false? Explain your answer briefly (in no more than four sentences). "Suppose the tan
Posted: Wed May 18, 2022 11:12 pm
Is the following statement true or false? Explain your answer briefly (in no more than four sentences).
"Suppose the tangency portfolio of risky assets has an expected return of 12% with a standard deviation of 20%. The risk-free rate is 4%. If you are a mean-variance optimising investor with risk-aversion coefficient A = 2, your optimal portfolio consists of 100% risky assets."
"Suppose the tangency portfolio of risky assets has an expected return of 12% with a standard deviation of 20%. The risk-free rate is 4%. If you are a mean-variance optimising investor with risk-aversion coefficient A = 2, your optimal portfolio consists of 100% risky assets."