We observe the following annual returns on a stock in the past three years. The...
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We observe the following annual returns on a stock in the past three years. The annual riskfree rate is 5%. Year 2016 2017 2018 Realized Return 10% 30% -10%
Jessica invests 50% of her money in stocks and 50% of her money in the risk-free asset. What are the expected return, standard deviation, and Sharpe ratio of her portfolio?
Jessica plans to invest $1 million in the stock and the risk-free asset. If her risk aversion A=5, how many dollars will she invest in the stock and how many dollars will she invest in the risk-free asset in her optimal portfolio?
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