36. The annualised market risk premium is 5% and has annualised volatility of 22.36%. A friend of

yours, who is a mean-variance utility maximiser, invests 50% of their portfolio in the market

portfolio and 50% of their portfolio in the risk-free asset is 3% p.a.. You can infer that your friend's

risk aversion coefficient, A, is closest to:

a. 2

b. 1

c. 0.5

d. 0

e. -0.5

refer to formula % invest in the market portfolio to make up of the portfolio , W = (Rm- Rf) / (A* SD^2).

50% = 5% / (A* 0.2236^2), A is around 2.

But the answer is 0.5, why?