Use the information in problem 12, and assume your client’s utility function is U = E(r) − (1/2) Aσ^2
(a) What is his optimal allocation y, if his risk aversion, A, is 2, 5, or 10?
(b) What happens to the allocation decision if your client becomes risk neutral (A approaches 0)?
(c) What if the expected return on your fund goes up to 20% (use A = 2)?
(d) What if the standard deviation of your fund return goes up to 35% (use A = 2)?