Unformatted text preview: be the allocation to the risk free rate? 7. At what risk aversion level is an investor indifferent between assets A and B? (I suggest you use goal seek in Excel for this problem.) 8. If an investor were to construct an equal weighted portfolio using assets A and B, what would be the expected return and standard deviation of the portfolio? 9. What is the weight in asset A that would minimize the variance of the combined portfolio? 10. What is the weight in asset A that would maximize a sharp ratio of the combined portfolio? Report the expected return, standard deviation and sharp ratio of this optimal portfolio. 11. The investor allocates an investment between the portfolio in problem 10 and the risk free asset. What is the optimal weight in the portfolio? 12. At what risk aversion level would the investor not wish to take out a loan? (Extension of problem 11, again, you’ll most likely need Excel.)...
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 Spring '09
 Clarke
 Standard Deviation, Variance, risk aversion level

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