CFA Level I sample question

CFA Level I Utility and CAL question

Portfolio Management / Utility and CAL

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Utility and CAL sample question

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Portfolio Management

Utility and CAL

An investor has risk aversion coefficient A = 4 and evaluates portfolios using U = E(R) - 0.5A sigma^2, with returns in decimals. Portfolio A: E=8%, sigma=10%. Portfolio B: E=11%, sigma=18%. Portfolio C: E=13%, sigma=25%. The optimal portfolio is:

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