An investor has the utility function listed in problem 3 and is considering investing in a risky asset with an expected return of 14.75% and a standard deviation of 35% and a Treasury bill with a rate of return of 2.25%. If the investors coefficient of risk aversion constant A is 2.5, what is their optimal portfolio weight to invest in the risky asset? Enter your answer rounded to two decimal places. Do not enter % in the answer box. For example, if your answer is 0.12345 or 12.345% then enter as 12.35 in the answer box.

Question 3

A portfolio has an expected rate of return of 11% and a standard deviation of 28%. The risk-free rate is 2.50%. An investor has the following utility function: U = E(r) - (1/2)A*Variance. Which value of A makes this investor indifferent between the risky portfolio and the risk-free asset?