Question

Problem 6-5 Consider a portfolio that offers an expected rate of return of 11% and a standard deviation of 21%. T-bills offer a risk-free 6% rate of return What is the maximum level of risk aversion for which the risky portfolio is still preferred to T-bills? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Maximum level of risk aversion must be

Answer 1

Ang z 11% ľ z 21% 6% - Rp the excess return Sharp unit Ratio is of risk. per SHARP RATIO = E(R) - Rf [higher the L I better z 11-6 2) 0.23 z :. Manimum must be level 0.23. of risk aversion