Quiz – Minimum Expected Return for a Risk-Averse Investor in a Risky Portfolio Given a Risk Aversion of A.
Essentials of Investments
Bodie, Kane, and Marcus
12th Edition
Treasury bills are paying an 8% rate of return. A risk-averse investor with a risk aversion of A = 2 should invest entirely in a risky portfolio with a standard deviation of 21% only if the risky portfolio’s expected return is at least __.
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