Question: A variance-averse investor has utility function U(1,02) = 4-202, where u is portfolio expected return, o is portfolio standard deviation, and p is the investor's

A variance-averse investor has utility function U(1,02) = 4-202, where u

A variance-averse investor has utility function U(1,02) = 4-202, 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 3%, the average return on the market index is 7%, and the standard deviation of the market index is 30%, what risk-aversion coefficient would justify an optimal investment consisting only of the market index? (9 marks)

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