What weight would you assign to the risk-free asset

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You invest $100 in a risky asset with an expected rate of return of 15% and a standard deviation of 15% and a T-bill with a rate of return of 5% and E (U)= E(r) - 0.5Aσ2. Suppose your risk aversion factor is 5. What weight would you assign to the risk-free asset?

Reference no: EM131336927

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