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 38% 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 = 3. Assume the utility function is U = E(r) 0.5 A².

WBills	WIndex	U(A = 3)
0.0	1.0
0.2	0.8
0.4	0.6
0.6	0.4
0.8	0.2
1.0	0.0