Which expected return would an agent in the world of Problem 6.1 require to hold the market

Question:

Which expected return would an agent in the world of Problem 6.1 require to hold the market portfolio, if her risk aversion is ? = 1?

Problem 6.1

Think of a world without the opportunity of risk-free borrowing or lending. You can only hold money, which means saving is permitted, or invest in a portfolio of risky assets. Show that in this world the market portfolio is given by.

Expected Return
The expected return is the profit or loss an investor anticipates on an investment that has known or anticipated rates of return (RoR). It is calculated by multiplying potential outcomes by the chances of them occurring and then totaling these... Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...

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