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A certain portfolio has expected return 9.4%, with standard deviation 14%, and the risk-free asset has expected return 3%. Using the Utility function discussed in
A certain portfolio has expected return 9.4%, with standard deviation 14%, and the risk-free asset has expected return 3%. 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.
-4.91
b.
6.53
c.
0.35
d.
-0.22
e.
insufficient information to determine
f.
0.91
g.
-9.59
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