Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 85 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 25% per year. Assume these values are representative of Investors' expectations for future performance and that the current T-bill rate Is 4% Calculate the utility levels of each portfolio for an Investor with A=2. Assume the utility function Is U = E(r) - 2.5 * Ao2. (Do not round Intermediate calculations. Round your answers to 4 decimal places. Negative amounts should be indicated by a minus sign.) U(A = 2) WBills 0.0 0.2 Windex 1.0 0.8 0.6 0.4 0.6 0.8 0.2 1.0 0.0 You estimate that a passive portfolio, for example, one invested in a risky portfolio that mimics the S&P 500 stock Index, offers an expected rate of return of 12% with a standard deviation of 28%. You manage an active portfolio with expected return 17% and standard deviation 38%. The risk-free rate is 6%. Your client's degree of risk aversion is A3.0. a. If he chose to invest in the passive portfolio, what proportion, y, would he select? (Do not round Intermediate calculations. Round your answer to 2 decimal places.) Proportion of y % b. What is the fee (percentage of the investment in your fund, deducted at the end of the year that you can charge to make the client indifferent between your fund and the passive strategy affected by his capital allocation decision (1.e., his choice of 11? (Do not round Intermediate calculations. Round your answer to 2 decimal places.) Fee % per year Consider a portfolio that offers an expected rate of return of 13% and a standard deviation of 19%. T-bilis offer a risk-free 5% rate of return. What is the maximum level of risk aversion for which the risky portfolio is still preferred to T-bills? (Do not round Intermediate calculations. Round your answer to 2 decimal places.) Maximum level of risk aversion must be