Suppose that a fund that tracks the S&P has mean E(Rm) = 16% and standard deviation m = 10% and suppose that the T-bill rate Rf = 8%. Answer the following question:

Assume an investors preference is characterized by the utility function U = E[r]-0.5A()^2. What is the optimal portfolio for an investor with A=4? (Hint: calculate the investors utility for different portfolio combinations. Begin with 100% in risk-free, 0% in S&P, and go up to -50% is risk-free and 150% in S&P with 10% increments. Excel would be helpful here.)