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An investor has the utility function , where is the expected return on the portfolio and is the portfolio variance. The efficient frontier (with no
An investor has the utility function , where is the expected return on the portfolio and is the portfolio variance. The efficient frontier (with no risk-free asset) is given by . Find the risk and expected return of the efficient portfolio that this investor will choose to maximize their utility. (Hint: write the investors utility function in terms of , then find its maximum.)
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