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Q9: A: You estimate that a passive portfolio invested to mimic the S&P500 index yields an...

Q9: A: You estimate that a passive portfolio invested to mimic the S&P500 index yields an expected rate of return of 11% with a standard deviation of 28%. Suppose that your risk aversion coefficient A=2.5 and the risk-free rate is 4%. What is your optimal allocation y to the index portfolio? type decimal values and accurate to the hundredth.

Q9: B: Continue from Question#9, A. Suppose that another investor has a risk aversion coefficient A > 2.5. Will this investor place more or less allocation to the index portfolio than you? Type in 1 for "more" and 2 for "less."

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SEE THE IMAGE. ANY DOUBTS, FEEL FREE TO ASK. THUMBS UP PLEASE

Home nert Page Layout Formulas Data Review View dd-Ins Cut Σ AutoSum ー E ゴWrap Text ta copy ▼ ,_a. ars-函Merge & Center, $, % , 弼,8 C Paste B l u. Conditional Format CeInsert Delete Format Formatting, as Table w styles. ▼ ㆆ ▼ Sort &Find & 2 ClearFe Select Edting Format Painter Clipboard Alignment Number Cells LP72 LM LN LO LP LQ LR LS LT LU LV LW 56 57 58 59 60 61 62 63 64 65 E(r ) = 11% 4% 2.5 RISK AVERSION 28% (E(r) rf)/ (A (62)) (0.11-0.04)/2.5(0.280.357142857 ANS a INVESTMENT PROPORTIONy- 35.71% 67 68 69 70 71 72 73 ANS b LESS NOW IF A> 2.5 THE VALUE OF y WILL DECREASE | KE CAPM UTILITY, SHARPE, beta, bond c future INDEX INTL CAP BUD SING PV, FV, ANNUITYDIR cleanYIELD bond stru WACC RES1 ex di 福 130% 12:10 24-01-2019

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