What is the investors risk aversion coefficient a

Reference no: EM133491759

Question: A risky fund has an expected return of 10% and standard deviation of 18%. The T-Bill rate is 5%. An investor allocates 130% of her retirement portfolio to the risky fund and -30% to T-Bills (recall the negative allocation to T-Bills indicates borrowing at risk free rate). What is the investor's risk aversion coefficient (A)?

Reference no: EM133491759

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