Refer to Question 10. Assume the following values for asset characteristics. By usingthe expression you obtained above, compute the values of the weights for assets inthe optimal portfolio for the following set of values for the risk aversion coefficient:A = {2,5, 10,100} .Expected Standard CorrelationReturnDeviationCoefficient CovarianceSecurity 18.00%12.00%0.30000.0072Security 213.00%20.00%Refer to Question 11. Verbally, state the effect of increased aversion to risk on thechoice of the optimal portfolio, i.e., the weights. How will your answer to theprevious question change if there were a risk-free asset available for trade?

Answer;----. Date:----6/10/2021

Answered: Refer to Question 11. Verbally, state…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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Refer to Question 11. Verbally, state the effect of increased aversion to risk on the choice of the optimal portfolio, i.e., the weights. How will your answer to the previous question change if there were a risk-free asset available for trade?