What investment proportions in risky portfolio

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Question - Risk aversion coefficient of Mr. Money is 3. He wants to maximize his utility by investing in a risky portfolio and in a risk-free asset. The risky portfolio has expected return of 12% and standard deviation of 18%, while return on risk-free asset is 5%.

Required -

(a) What investment proportions in risky portfolio and risk-free asset will maximize Mr. Money's utility?

(b) What is his utility maximizing return?

Reference no: EM132991160

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