This question assumes the standard mean-variance utility function. A pension scheme offers investors two possible funds to invest in: a cash fund and a balanced fund. The cash fund offers a guaranteed return of 1.80 %. The balanced fund offers an expected return of 7.60% with volatility 15.80%. What is the lowest level of risk-aversion that would cause an investor to choose the cash fund? O 0.05 O 4.65 O6.09 O 0.37
This question assumes the standard mean-variance utility function. A pension scheme offers investors two possible funds to invest in: a cash fund and a balanced fund. The cash fund offers a guaranteed return of 1.80 %. The balanced fund offers an expected return of 7.60% with volatility 15.80%. What is the lowest level of risk-aversion that would cause an investor to choose the cash fund? O 0.05 O 4.65 O6.09 O 0.37
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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Transcribed Image Text:This question assumes the standard mean-variance utility function. A pension scheme offers investors two possible funds to invest in: a cash fund and a balanced fund. The cash fund offers a guaranteed return of 1.80%. The balanced fund offers an expected return of 7.60% with volatility 15.80%. What is the
lowest level of risk-aversion that would cause an investor to choose the cash fund?
0.05
4.65
6.09
O 0.37
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