RISK AVERSION AND CAPITAL ALLOCATION TO RISKY ASSETS风险厌恶程度与风险资产的分配.pptVIP

6-* Figure 6.4 The Investment Opportunity Set Hafiz Hoque 6-* Lend at rf=7% and borrow at rf=9% Lending range slope = 8/22 = 0.36 Borrowing range slope = 6/22 = 0.27 CAL kinks at P Capital Allocation Line with Leverage Hafiz Hoque 6-* Figure 6.5 The Opportunity Set with Differential Borrowing and Lending Rates Hafiz Hoque 6-* Risk Tolerance and Asset Allocation The investor must choose one optimal portfolio, C, from the set of feasible choices Expected return of the complete portfolio: Variance: Hafiz Hoque 6-* Table 6.4 Utility Levels for Various Positions in Risky Assets (y) for an Inves