svgleeson

This is not a well know equation.
It’s on page 524 Volume VI, Reading 67: The Theory of Active Portfolio Management
Essentially, the amount the investor is invested in the risky portfolio M =
— [E(R)portfolio M - Rf] / 0.01 x A x s^2portfolio M
A = investor’s risk aversion, will be given to you.
Smiley,
Yah, I would guess so, although I would rather try what I know works.