Suppose that the utility function is of the form U = E (r) 0.5 Asd^2. A portfolio has an expected rate of return of 8 per cent per annum and a standard deviation of 25 per cent per annum. The risk-free interest rate is 6 per cent per annum. Which of the following values for the coefficient of risk aversion is closest to the value that would make an investor indifferent between investing in the risky portfolio and the risk-free asset?

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