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A risky asset has an expected rate of return of 0.15 and a standard deviation...

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Finance

A risky asset has an expected rate of return of 0.15 and a standard deviation of 0.15. The risk-free rate is 6 percent. An investor has the following utility function: U = E(r) - (A/2) Var(r). What is the expected return of the optimal portfolio for an investor with A=4?

A. 0.15

B. 0.20

C. 0.14

D. 0.16

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