What is the lowest level of risk-aversion

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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 balanced fund. The cash fund offers a guaranteed return of 2.20%. The balanced fund offers an expected return of 6.40% with volatility 11.30%. What is the lowest level of risk-aversion that would cause an investor to choose the cash fund?

Reference no: EM133251864

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