All investors have the following utility function: =()0.52U=E(r)0.5A2. Assume they only invest in Portfolio M and the risk-free asset. Portfolio M has an expected return of 14.6% and a standard deviation of 9.2%. The risk-free lending and borrowing rates are 5.8% and 9.4% respectively.

Assume there are 196 investors. 60 of them have risk aversion coefficient of 5.9 and capital of $849 each. 54 of them have risk aversion coefficient of 2.1 and capital of $653 each. The Government has issued $12,300 of treasury securities (i.e., it borrows $12,300). If the remaining 82 investors have risk aversion coefficient of 12.9, what must be their average capital?