Question: Using sample average returns and standard deviations of the volatility strategy discussed in class, calculate the optimal proportion that a mean-variance utility investor would invest

Using sample average returns and standard deviations of the volatility strategy discussed in class, calculate the optimal proportion that a mean-variance utility investor would invest in the volatility strategy in the following scenarios: Risk-free rate is 0.50% and gamma = 5.

Enter your answer in percentage points with two decimal places.

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