What fraction would you devote to third-in-three

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Reference no: EM132052792

1. Suppose your risk aversion coefficient is A = 2, the expected return on the risky portfolio is 10%, the standard deviation of the risky portfolio is 20%, and the T-bill rate is 4%. If you were allocating your complete portfolio in any year between Three-In and T-bills, what fraction would you devote to Three-In?

2. If you were allocating your complete portfolio in any year between Third-In-Three and T-bills, what fraction would you devote to Third-In-Three?

Reference no: EM132052792

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