Compute the capital allocation on the portfolio

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Assume that you are selected to manage the Portfolio. In addition, suppose that the maximum additional stress level (i.e., maximum marginal loss of utility) that is willing to endure is dU/dσ = -1.30, please compute the capital allocation on the Portfolio, and the expected return and standard deviation of the Portfolio.

expected return 0.783360125%

standard deviation 7.0969%

U(C) = E[r] - 0.41 · ln(2 + 7σ)

Reference no: EM132825890

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