A portfolio has an expected rate of return of 0.15 and a standard deviation of 0.15. The risk-free rate is 6%. An investor has the following utility function: U = E(r) (A/2) s2. Which value of A makes this investor indifferent
Between the risky portfolio and the risk-free asset?
A) 5
B) 6
C) 7
D) 8
Correct Answer:
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