A certain portfolio has expected return 18.8%, with standard deviation 31%, and the risk-free asset has expected return 1.8%. 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.

-1.54

b.

insufficient information to determine

c.

-3.91

d.

3.54

e.

0.83

f.

0.96

g.

1.10