Treasury bills are paying a 5% rate of return. A risk-averse investor with a risk aversion of A = 4 should invest entirely in a risky portfolio with a standard deviation of 22% only if the risky portfolio's expected return is at least 9.84% 6.09% 24.36% 14.36%

Treasury bills are paying a 5% rate of return. A risk-averse investor with a risk aversion of A = 4 should invest entirely in a risky portfolio with a standard deviation of 22% only if the risky portfolio's expected return is at least 9.84% 6.09% 24.36% 14.36%

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

Problem 1PS

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Question

(
D
Treasury bills are paying a 5% rate of return. A risk-averse investor with a risk aversion of A = 4 should invest
entirely in a risky portfolio with a standard deviation of 22% only if the risky portfolio's expected return
is at least
9.84%
6.09%
24.36%
14.36%

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