A certain portfolio has expected return 9.4%, with standard deviation 14%, and the risk-free asset has expected return 3%. 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.

-4.91

b.

6.53

c.

0.35

d.

-0.22

e.

insufficient information to determine

f.

0.91

g.

-9.59