Assume that all investors in the economy maximize the same utility function U=E(r)0.5*A*^2

They also have identical risk preferences and the same coefficient of risk aversionA.The investors can invest in the market portfolio and borrow and lend at the risk-free rate. Variance of the market portfolio is 0.04and the risk-free rate is 2.5%.

If the coefficient of risk-aversionA= 4, what is the expected return on the market portfolio?