(19.

A certain portfolio has expected return 10.9%, with standard deviation 18%, and the risk-free asset has expected return 4.2%. Using the Utility function discussed in class and as defined in Chapter 6 of our Bodie, Kane, Marcus textbook, at what level of risk aversion, A, will an investor be indifferent between the portfolio and the risk-free asset? Select one:

a. -6.73

b. -3.45

c. 0.28

d. insufficient information to determine

e. 0.74

f. -0.18

g. 4.14