An investor with risk aversion coefficient $\alpha = 2$ uses modern portfolio theory to describe his preferences over investments. We determine the indifference curve with $U$-value $U(1.1,0.8)$.
Antwoord 1 correct
Correct
Antwoord 2 optie
$\mu=0.46+2\sigma^2$
Antwoord 2 correct
Fout
Antwoord 3 optie
$\mu=-0.18+2\sigma^2$
Antwoord 3 correct
Fout
Antwoord 4 optie
$\mu=-0.18+\sigma^2$
Antwoord 4 correct
Fout
Antwoord 1 optie
$\mu=0.46+\sigma^2$
Antwoord 1 feedback
Correct: $U(1.1,0.8)=1.1-\frac{1}{2}\cdot 2 \cdot 0.8^2=0.46$.
Hence, $0.46=\mu-\frac{1}{2}\cdot 2 \sigma^2$, which gives $\mu=0.46+\sigma^2$.
Go on.
Hence, $0.46=\mu-\frac{1}{2}\cdot 2 \sigma^2$, which gives $\mu=0.46+\sigma^2$.
Go on.
Antwoord 2 feedback
Antwoord 3 feedback
Antwoord 4 feedback