in Asset allocation we multiply risk aversion score and variance with 0.005
in equity we don’t multiply with 0.005.
is equity one incorrect? Equation 2 in reading 24
Thanks,
in Asset allocation we multiply risk aversion score and variance with 0.005
in equity we don’t multiply with 0.005.
is equity one incorrect? Equation 2 in reading 24
Thanks,
λA = the investor’s trade-off between active risk and active return; measures risk aversion = in active risk terms = 0.005* R(A) Both are correct.
got it… thanks!
You are welcome.