Portfolio Return Std. Dev. A 15.0% 17.0% B 10.6% 10.0% C 8.8% 8.0%
RZ =5UA = E(RA) – 0.5(RZ)(σ2A) = 0.15 – 0.5(5)(0.17)2 = 0.078UB = E(RC) – 0.5(RZ)( σ2C) = 0.106 – 0.5(5)(0.10)2 = 0.081UC = E(RD) – 0.5(RZ)( σ2D) = 0.088 – 0.5(5)(0.08)2 = 0.072.
Portfolio B has the highest utility.
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