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The optimal risky portfolio p* has an expected return of 15% and a standard dev...
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The optimal risky portfolio p* has an expected return of 15% and a standard deviation of 25%. The current risk-free rate in the market is 2%. Conservative investor C holds an optimal complete portfolio with a standard deviation of 20%.
What is the implied risk aversion coefficient of Investor C?
67%
0%
0%
33%