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A risky fund has an expected return of 9.25% and standard deviation of 18%. The T-Bill rate is 5.625%. An investor allocates 0% of her

A risky fund has an expected return of 9.25% and standard deviation of 18%. The T-Bill rate is 5.625%. An investor allocates 0% of her retirement portfolio to the risky fund and 100% to T-Bills. What is the investors risk aversion coefficient (A)?

Group of answer choices

A. -1.11

B. 1.11

C. 0

D. Undefined (infinite)

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