- Exercise 2 An investor who maximizes a linear mean-variance utility, U(µp, σp) μpaσ, optimally invests half of her wealth in asset 1, having expected re- turn μ₁ = 10% and standard deviation σ1 10%, and half of her wealth in a risk-free asset, having return FR = 4%. = (a) Find the efficient frontier and represent it in the plane (σp, μP) (assuming that the investor feasible portfolios can include a short position in the risk- free asset). (b) Find the risk-aversion parameter a of the investor. (c) Using the same efficient frontier, for which levels of risk-aversion parameter the investor has a negative position in the risk-free asset? =