Portfolio Return Std. Dev. A 18.0% 24.0% B 13.5% 10.0% C 9.5% 6.0%
RZ = 6UA = E(RA) – 0.5(RZ)(σ2A) = 0.18 – 0.5(6)(0.24)2 = 0.007
UB = E(RC) – 0.5(RZ)( σ2C) = 0.135 – 0.5(6)(0.10)2 = 0.105UC = E(RD) – 0.5(RZ)( σ2D) = 0.095 – 0.5(6)(0.06)2 = 0.084.
Investment A has the least utility of 0.007.
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