04 Jun CALCULATE RISK AVERSION COEFFICIENTS FOR THE OPTIMAL PORTFOLIOS THAT YOU CREATE IN STEP
Question
Computer Applications in Finance Assignment 4
*With the time series of the 5 risky asset returns (SS, LS, LT, TB, and IL):
1. Plot the frontier with portfolio volatility varying between 1 and 10 with an interval of 0.05
2. Specify which part of the frontier is efficient and why.
3. Calculate risk aversion coefficients for the optimal portfolios that you create in Step1. Assume that the investor follows quadratic utility.
4. Calculate the marginal utility for the optimal portfolios you create in Step1. Assume that the investor follows quadratic utility.
5. Suppose that the investor is also able to invest in a riskless asset (risk-free rate is 2.1% per annum). How does the new efficient frontier look like? Show it in Excel with a chart.
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