Business, 30.03.2021 03:10, rar79

Assume the expected return on an SP500 index fund is 8% and the Treasury bill yield is 1%. The standard deviation of the SP500 return is 20% What are the expected returns and variances of portfolios invested in T-Bills and SP500 with SP500 weights 0%, 20%, 30%, 40%, 50%, 60%, 70%, 80%, 90%, and 100%? Assuming quadratic utility, what is the maximum utility portfolio for an investor with risk aversion parameter A=2 or A=4

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Assume the expected return on an SP500 index fund is 8% and the Treasury bill yield is 1%. The stand...