Question: A mean-variance investor has utility function U(u, o) = u-202, where u is portfolio expected return, o is portfolio standard deviation, and p is the

A mean-variance investor has utility function U(u, o) = u-202, where

A mean-variance investor has utility function U(u, o) = u-202, where u is portfolio expected return, o is portfolio standard deviation, and p is the investor's risk-aversion coefficient. If the risk-free rate of return is 2%, the average return on the market index is 8%, and the standard deviation of the market index is 30%, what risk-aversion coefficient would justify investing 100% in the market index? (9 marks)

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