An investor with unit wealth maximizes the expected value of the utility func- tion U (x) = ax bx2 /2 and obtains a mean-variance efficient portfolio. A friend of his with wealth W and the same utility function does the same calculation, but gets a different portfolio return. However, changing b to b' does yield the same result. What is the value of b? (Luenberger) An investor with unit wealth maximizes the expected value of the utility func- tion U (x) = ax bx2 /2 and obtains a mean-variance efficient portfolio. A friend of his with wealth W and the same utility function does the same calculation, but gets a different portfolio return. However, changing b to b' does yield the same result. What is the value of b? (Luenberger)