medium · CFA Level I Portfolio Management
An investor has a risk aversion coefficient (A) of 3. They are choosing between a portfolio with an expected return of 8% and a standard deviation of 12%, and a risk-free asset yielding 3%.
Using the utility function U = E[R] - 1/2Aσ^2, the utility of the risky portfolio is closest to:
- 0.0584
- 0.0620
- 0.0440
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