Consider two assets with the following returns: State Prob. of state R1 R2 1 2/3 .03 .05 2 1/3 .09 .02 (a) Compute the optimal portfolio for an investor having a Bernoulli utility of net returns u(r) = lnr. In other words, the investor maximizes max Eu (aR + (1 - a) R2] a (b) Compute the certainty equivalent of the optimal portfolio. Consider two assets with the following returns: State Prob. of state R1 R2 1 2/3 .03 .05 2 1/3 .09 .02 (a) Compute the optimal portfolio for an investor having a Bernoulli utility of net returns u(r) = lnr. In other words, the investor maximizes max Eu (aR + (1 - a) R2] a (b) Compute the certainty equivalent of the optimal portfolio