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 5%. Calculate the utility levels of each portfolio for an investor with A = 2. Assume the utility function is U = E(r) 0.5 A2. (Do not round intermediate calculations. Round your answers to 4 decimal places. Negative amounts should be indicated by a minus sign. )

WBillsWIndexU(A = 2)

0.0 1.0

0.20 .80

.40 .60

.60 .40

.80 .2

1.0 0.0