Calculate Optimal PortfolioWeight

Suppose the lending rate is 0.04 (4%) while the borrowing rate is 0.06 (6%). You are constructing a portfolio consisting of one risky and one risk free asset. Expected return andstandarddeviationoftheriskyassetis0.10(10%)and0.20(20%)respectively.

Your client's utility function is defined asU=E-aS²whereE,S, andaare expected

return, standard deviation, and risk aversion parameter. What is the range of risk aversion for which the client will neither borrow nor lend, that is, for which your client invests 100% in risky asset only?