Business
Business, 11.05.2021 02:30, mildredelizam

One mutual fund has a team of analysts that performs security analysis. They can produce forecasts of annual alphas of 2%, on average, in a universe of 50 stocks with an accuracy of 2% (measured in terms of r-square). The standard deviation of the residuals is 5%. What is the amount of fees (in %) one mean-variance investor with a risk aversion of 3 would be willing to pay for the services of the mutual fund?

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