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The annual expected return of the risky portfolio is 8%, the annual volatility of the risky portfolio is 20%, and the risk-free rate is 3%.
The annual expected return of the risky portfolio is 8%, the annual volatility of the risky portfolio is 20%, and the risk-free rate is 3%. If your utility is described as U = E(r) - 1/2 * A * vol^2 and your annual risk-aversion A = 4, what is your utility value for the portfolio that has 25% in the risky asset?
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