Question: This question assumes the standard mean-variance utility function. A pension scheme offers investors two possible funds to invest in: a cash fund and a

This question assumes the standard mean-variance utility function. A pension scheme offers investors two possible funds to invest in: a cash fund and a balanced fund. The cash fund offers a guaranteed return of 1.90%. The balanced fund offers an expected return of 3.10% with volatility 15.50%. What is the lowest level of risk-aversion that would cause an investor to choose the cash fund?

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