A certain portfolio has expected return 13.7%, with standard deviation 12%, and the risk-free asset has expected return 4%. Using the Utility function discussed in class and as defined in Chapter 6 of our Bodie, Kane, Marcus textbook, at what level of risk aversion, A, will an investor be indifferent between the portfolio and the risk-free asset?

Select one:

a.

-19.03

b.

0.62

c.

-9.70

d.

13.47

e.

insufficient information to determine

f.

1.62

g.

-0.37