The variance of the return on the market portfolio is .04 and the expected return on the market portfolio is 20%. If the risk-free rate of return is 10%, the market degree of risk aversion, A, is ________.
A) .5
B) 2.5
C) 3.5
D) 5

Name: The variance of the return on the market portfolio is .04 and the expected return on the market portfolio is 20%. If the risk-free rate of return is 10%, the market degree of risk aversion, A, is ________. A) .5 B) 2.5 C) 3.5 D) 5
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Question

Quizplus · Accepted Answer

A = (.20 - .10)/.04 = 2.5

The Variance of the Return on the Market Portfolio Is